Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
DOI10.1016/J.JSPI.2006.06.033zbMATH Open1104.62099OpenAlexW2164622888MaRDI QIDQ866643FDOQ866643
Authors: Peter C. B. Phillips, Yixiao Sun, Sainan Jin 
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
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- STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
- A limit theorem for quadratic forms and its applications
- Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
- Controlling the size of autocorrelation robust tests
- Standard Errors for Nonparametric Regression
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- On size and power of heteroskedasticity and autocorrelation robust tests
- Asymptotics of spectral density estimates
- Is Newey-West optimal among first-order kernels?
- Inference for modulated stationary processes
- Optimal HAR inference
- A new kernel for long-run variance estimates in seasonal time series models
- ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
- Bootstrap inference under cross‐sectional dependence
- The Portmanteau Tests and the LM Test for ARMA Models with Uncorrelated Errors
- POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
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