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Autocorrelation- and heteroskedasticity-consistent t-values with trending data

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  • Kramer, Walter
  • Michels, Sonja

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3T7HKRP-7/2/330f1aeab87a320bc8cbf4a9d412ef29
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 76 (1997)
Issue (Month): 1-2 ()
Pages: 141-147

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Handle: RePEc:eee:econom:v:76:y:1997:i:1-2:p:141-147

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Chipman, John S, 1979. "Efficiency of Least-Squares Estimation of Linear Trend when Residuals are Autocorrelated," Econometrica, Econometric Society, vol. 47(1), pages 115-28, January.
  2. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  3. Keener, Robert W. & Kmenta, Jan & Weber, Neville C., 1991. "Estimation of the Covariance Matrix of the Least-Squares Regression Coefficients When the Disturbance Covariance Matrix Is of Unknown Form," Econometric Theory, Cambridge University Press, vol. 7(01), pages 22-45, March.
  4. Busse, Ralf & Jeske, Roland & Kramer, Walter, 1994. "Efficiency of least-squares-estimation of polynomial trend when residuals are autocorrelated," Economics Letters, Elsevier, vol. 45(3), pages 267-271.
  5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
  6. Kramer, W., 1989. "On the robustness of the F-test to autocorrelation among disturbances," Economics Letters, Elsevier, vol. 30(1), pages 37-40.
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Cited by:
  1. Badi Baltagi & Chihwa Kao & Sanggon Na, 2013. "Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ test," Statistical Papers, Springer, vol. 54(4), pages 1067-1094, November.
  2. Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Center for Policy Research Working Papers 150, Center for Policy Research, Maxwell School, Syracuse University.

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