Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
From MaRDI portal
Publication:5449870
DOI10.1111/j.0012-9682.2008.00822.xzbMath1132.62073MaRDI QIDQ5449870
Yixiao Sun, Peter C. B. Phillips, Sainan Jin
Publication date: 19 March 2008
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0012-9682.2008.00822.x
asymptotic expansion; loss function; kernel method; long-run variance; nonstandard asymptotics; robust standard error; type I and type II errors; bandwidth choice
62P20: Applications of statistics to economics
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G20: Asymptotic properties of nonparametric inference
Related Items
CHARACTERISTIC FUNCTION BASED TESTING FOR CONDITIONAL INDEPENDENCE: A NONPARAMETRIC REGRESSION APPROACH, SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation, Shrinkage of Variance for Minimum Distance Based Tests, Subsampling to Enhance Efficiency in Input Uncertainty Quantification, An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP, Fixed Bandwidth Inference for Fractional Cointegration, HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA, Discussion on: ``Bootstrap methods for dependent data: a review, TESTING FOR STRUCTURAL CHANGES IN FACTOR MODELS VIA A NONPARAMETRIC REGRESSION, Standard Errors for Nonparametric Regression, MTests with a New Normalization Matrix, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Asymptotic F test in regressions with observations collected at high frequency over long span, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test, Markov chain Monte Carlo confidence intervals, Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Are spectral estimators useful for long-run restrictions in SVARs?, A loss function approach to model specification testing and its relative efficiency, Fixed-smoothing asymptotics for time series, The VIX, the variance premium and stock market volatility, Sieve semiparametric two-step GMM under weak dependence, A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data, Asymptotic \(F\) and \(t\) tests in an efficient GMM setting, Robustifying multivariate trend tests to nonstationary volatility, Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix, Robust trend inference with series variance estimator and testing-optimal smoothing parameter, Inference with dependent data using cluster covariance estimators, Simple and powerful GMM over-identification tests with accurate size, Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects, A modified Wilcoxon test for change points in long-range dependent time series, Tail index estimation with a fixed tuning parameter fraction, Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications, Nonparametric testing for smooth structural changes in panel data models, Moment ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors, Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes, Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework, Controlling the size of autocorrelation robust tests, Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators, Nonparametric pseudo-Lagrange multiplier stationarity testing, Bayesian model selection based on parameter estimates from subsamples, Estimation of longrun variance of continuous time stochastic process using discrete sample, A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions, Simple and trustworthy cluster-robust GMM inference, Inference in time series models using smoothed-clustered standard errors, Estimation and inference about tail features with tail censored data, Testing for stationarity at high frequency, Asymptotic F tests under possibly weak identification, Testing-optimal kernel choice in HAR inference, Change-in-mean tests in long-memory time series: a review of recent developments, Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion, Low-frequency robust cointegration testing, A nonstandard empirical likelihood for time series, On a general class of long run variance estimators, Distribution theory for the Studentized mean for long, short, and negative memory time series, Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects, Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics, Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions, Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference, Choosing instrumental variables in conditional moment restriction models, Finite-sample corrected inference for two-step GMM in time series, FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS, ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS, The Block-Block Bootstrap for Time Series, Stationarity testing under nonlinear models. Some asymptotic results, POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION, Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
