Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
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tablespower parameterlong run variancedata-determined kernel estimationheteroscedasticity and autocorrelation consistent standard errorsharp origin kernel
Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- scientific article; zbMATH DE number 2161992 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotics for linear processes
- Automatic Lag Selection in Covariance Matrix Estimation
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
- Gaussian semiparametric estimation of long range dependence
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Higher-order approximations for frequency domain time series regression
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- Second Order Approximation in the Partially Linear Regression Model
- Selected collected works. Vol. 1: Nonparametric methods in statistics and related topics. Edited by Peter G. Hall, Marc Hallin and George G. Roussas.
- Simple Robust Testing of Regression Hypotheses
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Cited in
(17)- Bootstrap inference under cross‐sectional dependence
- Asymptotics of spectral density estimates
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- Optimal HAR inference
- Controlling the size of autocorrelation robust tests
- On size and power of heteroskedasticity and autocorrelation robust tests
- ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
- The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- Is Newey-West optimal among first-order kernels?
- A limit theorem for quadratic forms and its applications
- Inference for modulated stationary processes
- Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
- A new kernel for long-run variance estimates in seasonal time series models
- Standard errors for nonparametric regression
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