BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP

DOI10.1017/S0266466610000496zbMath1219.62137OpenAlexW2053983580MaRDI QIDQ5199497

Sílvia Gonçalves, Timothy J. Vogelsang

Publication date: 16 August 2011

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466610000496

Mathematics Subject Classification ID

Related Items (18)

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Ridge regression revisited: debiasing, thresholding and bootstrap ⋮ Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model ⋮ Fixed-smoothing asymptotics for time series ⋮ Bootstrap inference under cross‐sectional dependence ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ HAC robust trend comparisons among climate series with possible level shifts ⋮ HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework ⋮ Asymptotic \(F\) and \(t\) tests in an efficient GMM setting ⋮ Lasso Inference for High-Dimensional Time Series ⋮ FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS ⋮ Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix ⋮ Inference in time series models using smoothed-clustered standard errors ⋮ Discussion on: ``Bootstrap methods for dependent data: a review ⋮ THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS ⋮ A FIXED-b PERSPECTIVE ON THE PHILLIPS–PERRON UNIT ROOT TESTS ⋮ The Block-Block Bootstrap for Time Series

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Bootstrapping GMM estimators for time series
• A bootstrap theory for weakly integrated processes
• On the asymptotic accuracy of Efron's bootstrap
• Asymptotics for linear processes
• Second-order correctness of the blockwise bootstrap for stationary observations
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• The jackknife and the bootstrap for general stationary observations
• On Edgeworth expansion and moving block bootstrap for Studentized \(M\)-estimators in multiple linear regression models
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
• Stochastic Limit Theory
• A Sieve Bootstrap For The Test Of A Unit Root
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests

This page was built for publication: BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP