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

DOI10.1016/J.JECONOM.2011.06.017MaRDI QIDQ738032zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(27)

• Testing for trends in high-dimensional time series
• Multivariate trend function testing with mixed stationary and integrated disturbances
• A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
• Testing-optimal kernel choice in HAR inference
• Testing for Trend Specifications in Panel Data Models
• Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework
• Comment
• Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
• Fixed-smoothing asymptotics for time series
• Sieve inference on possibly misspecified semi-nonparametric time series models
• Simple and powerful GMM over-identification tests with accurate size
• A non‐parametric test for multi‐variate trend functions
• A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
• Ridge regression revisited: debiasing, thresholding and bootstrap
• \(M\) tests with a new normalization matrix
• An asymptotic \(F\) test for uncorrelatedness in the presence of time series dependence
• Nonparametric cointegrating regression with endogeneity and long memory
• Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion
• Optimal HAR inference
• 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 tests under possibly weak identification
• Asymptotic F test in regressions with observations collected at high frequency over long span
• 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

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Uses Software

• sapa

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