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Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation

In: Essays in Honor of Peter C. B. Phillips

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  • Yixiao Sun

Abstract

New asymptotic approximations are established for the Wald and t statistics in the presence of unknown but strong autocorrelation. The asymptotic theory extends the usual fixed-smoothing asymptotics under weak dependence to allow for near-unit-root and weak-unit-root processes. As the locality parameter that characterizes the neighborhood of the autoregressive root increases from zero to infinity, the new fixed-smoothing asymptotic distribution changes smoothly from the unit-root fixed-smoothing asymptotics to the usual fixed-smoothing asymptotics under weak dependence. Simulations show that the new approximation is more accurate than the usual fixed-smoothing approximation.

Suggested Citation

  • Yixiao Sun, 2014. "Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 23-63, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320140000033002
    DOI: 10.1108/S0731-905320140000033002
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    Cited by:

    1. Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2017. "A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data," Journal of Econometrics, Elsevier, vol. 197(2), pages 298-322.
    2. Hwang, Jungbin & Sun, Yixiao, 2017. "Asymptotic F and t tests in an efficient GMM setting," Journal of Econometrics, Elsevier, vol. 198(2), pages 277-295.
    3. Liu, Cheng & Sun, Yixiao, 2019. "A simple and trustworthy asymptotic t test in difference-in-differences regressions," Journal of Econometrics, Elsevier, vol. 210(2), pages 327-362.
    4. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
    5. Hwang, Jungbin & Sun, Yixiao, 2018. "SIMPLE, ROBUST, AND ACCURATE F AND t TESTS IN COINTEGRATED SYSTEMS," Econometric Theory, Cambridge University Press, vol. 34(5), pages 949-984, October.
    6. Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2020. "Asymptotic F tests under possibly weak identification," Journal of Econometrics, Elsevier, vol. 218(1), pages 140-177.
    7. Coroneo, Laura & Iacone, Fabrizio, 2025. "Testing for equal predictive accuracy with strong dependence," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1073-1092.

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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