Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

DOI10.1016/j.jspi.2006.06.033zbMath1104.62099MaRDI QIDQ866643

Peter C. B. Phillips, Sainan Jin, Yixiao Sun

Publication date: 14 February 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/318

zbMATH Keywords

tables; power parameter; long run variance; data-determined kernel estimation; heteroscedasticity and autocorrelation consistent standard error; sharp origin kernel

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

62F35: Robustness and adaptive procedures (parametric inference)

62M15: Inference from stochastic processes and spectral analysis

Related Items

ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES, The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors, Standard Errors for Nonparametric Regression, Robust trend inference with series variance estimator and testing-optimal smoothing parameter, Controlling the size of autocorrelation robust tests, Inference for modulated stationary processes, Estimation of longrun variance of continuous time stochastic process using discrete sample, ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS, A LIMIT THEOREM FOR QUADRATIC FORMS AND ITS APPLICATIONS, STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES, POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS, ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotics for linear processes
• Higher-order approximations for frequency domain time series regression
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• Gaussian semiparametric estimation of long range dependence
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Automatic Lag Selection in Covariance Matrix Estimation
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Simple Robust Testing of Regression Hypotheses
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Second Order Approximation in the Partially Linear Regression Model
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS