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

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

tablespower parameterlong run variancedata-determined kernel estimationheteroscedasticity and autocorrelation consistent standard errorsharp origin kernel

Mathematics Subject Classification ID

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)

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotics for linear processes
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Cited In (17)

• 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
• 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
• ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES
• 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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