Robust trend inference with series variance estimator and testing-optimal smoothing parameter

DOI10.1016/J.JECONOM.2011.06.017zbMATH Open1441.62880OpenAlexW3124760465MaRDI QIDQ738032FDOQ738032

Yixiao Sun

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.017

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zbMATH Keywords

asymptotic expansionrobust standard errortype I and type II errorsseries method\(F\)-distributionHotelling's \(T^{2}\) distributionlong run variancetesting-optimal smoothing parameter choicetrend inference

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Asymptotics for linear processes
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Automatic Lag Selection in Covariance Matrix Estimation
• Testing for common deterministic trend slopes
• Spectral Analysis for Physical Applications
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• The commutation matrix: Some properties and applications
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
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• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• Spectral Analysis of Signals: The Missing Data Case
• HAC ESTIMATION BY AUTOMATED REGRESSION
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
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• The Uniform Distribution on a Sphere in ${\bf R}^S$. Properties of Projections. I
• Confidence intervals using orthonormally weighted standardized time series
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Cited In (26)

• Multivariate trend function testing with mixed stationary and integrated disturbances
• Testing for Trend Specifications in Panel Data Models
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Comment
• Testing-optimal kernel choice in HAR inference
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Sieve inference on possibly misspecified semi-nonparametric time series models
• An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
• Fixed-smoothing asymptotics for time series
• A non‐parametric test for multi‐variate trend functions
• MTests with a New Normalization Matrix
• Simple and powerful GMM over-identification tests with accurate size
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Ridge regression revisited: debiasing, thresholding and bootstrap
• Nonparametric cointegrating regression with endogeneity and long memory
• Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion
• Optimal HAR inference
• SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• Testing for common trends in semi-parametric panel data models with fixed effects
• Asymptotic F test in regressions with observations collected at high frequency over long span
• 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
• On a general class of long run variance estimators
• Asymptotic \(F\) and \(t\) tests in an efficient GMM setting

Uses Software

• sapa

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