Some fixed-b results for regressions with high frequency data over long spans
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DOI: 10.1016/j.jeconom.2024.105773
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Cited by:
- Jungbin Hwang & Yixiao Sun, 2025. "Asymptotic F and t Tests in Cointegrating Regressions with Asymptotically Homogeneous Functions," Working papers 2025-01, University of Connecticut, Department of Economics.
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Keywords
Robust inference; Nonparametric kernel estimator; Long run variance; Cointegrating regression; Continuous time; Wald statistic;All these keywords.
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