Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation
In: Essays in Honor of Peter C. B. Phillips
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DOI: 10.1108/S0731-905320140000033002
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- Sun, Yixiao, 2014. "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series qt8479f4s2, Department of Economics, UC San Diego.
References listed on IDEAS
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Citations
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Cited by:
- 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.
- Hwang, Jungbin & Sun, Yixiao, 2016. "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series qt82k1x4rd, Department of Economics, UC San Diego.
- Hwang., Jungbin & Sun, Yixiao, 2017. "Simple, Robust, and Accurate F and t Tests in Cointegrated Systems," University of California at San Diego, Economics Working Paper Series qt83b4q8pk, Department of Economics, UC San Diego.
- 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.
- Hwang, Jungbin & Sun, Yixiao, 2015. "Asymptotic F and t Tests in an Efficient GMM Setting," University of California at San Diego, Economics Working Paper Series qt1c62d8xf, Department of Economics, UC San Diego.
- 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.
- Martínez-Iriarte, Julián & Sun, Yixiao & Wang, Xuexin, 2019. "Asymptotic F Tests under Possibly Weak Identification," University of California at San Diego, Economics Working Paper Series qt6qk200q8, Department of Economics, UC San Diego.
- Julian Martinez-Iriarte & Yixiao Sun & Xuexin Wang, 2019. "Asymptotic F Tests under Possibly Weak Identification," Working Papers 2019-03-12, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- 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.
- Min Seong Kim & Yixiao Sun & Jingjing Yang, 2015. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," Working Papers 049, Toronto Metropolitan University, Department of Economics.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2016. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," University of California at San Diego, Economics Working Paper Series qt2240n3n5, Department of Economics, UC San Diego.
- 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.
- Liu, Cheng & Sun, Yixiao, 2019. "A Simple and Trustworthy Asymptotic t Test in Difference-in-Differences Regressions," University of California at San Diego, Economics Working Paper Series qt0ck2109g, Department of Economics, UC San Diego.
- Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
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More about this item
Keywords
Autocorrelation robust test; fixed-smoothing asymptotics; local-to-unity; strong autocorrelation; weak unit root; C13; C14; C32; C51;All these keywords.
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
Statistics
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