Robust inference on infinite and growing dimensional time-series regression
From MaRDI portal
Publication:6536576
Recommendations
- Inference in regression models with many regressors
- Simple Robust Testing of Regression Hypotheses
- On size and power of heteroskedasticity and autocorrelation robust tests
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Consistent autoregressive spectral estimates
- Consistent Specification Testing Via Nonparametric Series Regression
- Convergence rates and asymptotic normality for series estimators
- Exact mean integrated squared error
- Fixed-smoothing asymptotics in a two-step generalized method of moments framework
- HAR Inference: Recommendations for Practice
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
- Hypothesis testing in linear regression when k/n is large
- Inference in linear regression models with many covariates and heteroscedasticity
- Inference in regression models with many regressors
- Invariance principles for mixing sequences of random variables
- Leave‐Out Estimation of Variance Components
- Markov chains and stochastic stability
- Nonparametric specification testing via the trinity of tests
- Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
- Regression coefficient and autoregressive order shrinkage and selection via the lasso
- Robust inference on infinite and growing dimensional time-series regression
- Root-N-Consistent Semiparametric Regression
- Series estimation under cross-sectional dependence
- Simple Robust Testing of Regression Hypotheses
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- Testing stochastic dominance with many conditioning variables
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Time series: theory and methods.
- Weak convergence of the empirical process of residuals in linear models with many parameters
- What is an oil shock?
Cited in
(2)
This page was built for publication: Robust inference on infinite and growing dimensional time-series regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6536576)
