Improving the bandwidth-free inference methods by prewhitening

DOI10.1016/j.jspi.2013.06.016zbMath1278.62151OpenAlexW2095512891MaRDI QIDQ394095

Yeonwoo Rho, Xiao-Feng Shao

Publication date: 24 January 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2013.06.016

zbMATH Keywords

self-normalizationrobust testingtime series regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings

Cites Work

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