Asymptotic F and t tests in an efficient GMM setting
DOI10.1016/J.JECONOM.2017.02.003zbMATH Open1395.62269OpenAlexW1233361996MaRDI QIDQ524822FDOQ524822
Authors: Jungbin Hwang, Yixiao Sun 
Publication date: 26 April 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.02.003
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fixed-smoothing asymptotics\(t\) distribution\(F\) distributionasymptotic variance matrixefficient GMMheteroskedasticity and autocorrelation robusttwo-step GMM
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Cites Work
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- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- Simple and powerful GMM over-identification tests with accurate size
- A theory of robust long-run variance estimation
- HAC ESTIMATION BY AUTOMATED REGRESSION
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
- Fixed-smoothing asymptotics and asymptotic \(F\) and \(t\) tests in the presence of strong autocorrelation
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Cited In (16)
- Asymptotic theory for clustered samples
- Simple and trustworthy cluster-robust GMM inference
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Comment
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Simple and powerful GMM over-identification tests with accurate size
- Testing, Estimation in GMM and CUE with Nearly-Weak Identification
- On the effect of weighting matrix in GMM specification test
- The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity
- Fixed-smoothing asymptotics in a two-step generalized method of moments framework
- Optimal HAR inference
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Asymptotic F tests under possibly weak identification
- An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
- Finite-sample corrected inference for two-step GMM in time series
- HAR Inference: Recommendations for Practice
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