Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size
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References listed on IDEAS
- Pfanzagl, J. & Wefelmeyer, W., 1978. "A third-order optimum property of the maximum likelihood estimator," Journal of Multivariate Analysis, Elsevier, pages 1-29.
- Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, pages 891-916.
- Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, pages 531-548.
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