IDEAS home Printed from https://ideas.repec.org/p/cam/camdae/2678.html

Affine-Equivariant Adjusted-Range Self-Normalization

Author

Listed:
  • Hong, Y.
  • Lin, Z.
  • Linton, O. B.
  • Newey, W. K.
  • Sun, J.

Abstract

We propose affine-equivariant adjusted-range self-normalization for joint inference on time-series parameters. The method uses the projected ranges of a centered influence path to normalize estimation error, yielding pivotal limiting inference without estimating the long-run covariance matrix. The resulting statistic is invariant to nonsingular linear reparameterizations, and its inversion yields affine-equivariant confidence regions. In the univariate case, the proposed method reduces exactly to adjusted-range self-normalization. We derive scalar reference distributions and accommodate proportional variance accumulation through appropriate path centering. Simulations show power gains over quadratic self-normalization and quantify size distortions under persistent dependence. An application to U.S. fiscal multipliers illustrates joint inference across horizons and its sensitivity to concentrated identifying variation.

Suggested Citation

  • Hong, Y. & Lin, Z. & Linton, O. B. & Newey, W. K. & Sun, J., 2026. "Affine-Equivariant Adjusted-Range Self-Normalization," Cambridge Working Papers in Economics 2678, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:2678
    as

    Download full text from publisher

    File URL: https://www.econ.cam.ac.uk/sites/default/files/publication-cwpe-pdfs/cwpe2678.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    2. Xiaofeng Shao, 2010. "Corrigendum: A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(5), pages 695-696, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
    2. Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).
    3. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 490-505, July.
    4. Santos, João & Domingos, Tiago & Sousa, Tânia & St. Aubyn, Miguel, 2016. "Does a small cost share reflect a negligible role for energy in economic production? Testing for aggregate production functions including capital, labor, and useful exergy through a cointegration-based method," MPRA Paper 70850, University Library of Munich, Germany.
    5. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    6. Berkowitz, J. & Birgean, I. & Kilian, L., 1999. "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," Papers 99-01, Michigan - Center for Research on Economic & Social Theory.
    7. Muhammad Kashif & Thomas Leirvik, 2022. "The MAX Effect in an Oil Exporting Country: The Case of Norway," JRFM, MDPI, vol. 15(4), pages 1-16, March.
    8. Nisamudheen, P.P. & Shareef, K. Hassan, 2025. "The role of human capital in driving renewable energy and sustainable development in India," Utilities Policy, Elsevier, vol. 95(C).
    9. Saaed, A.A.J., 2007. "Inflation and Economic Growth in Kuwait: 1985-2005. Evidence from Co-Integration and Error Correction Model," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
    10. Anders Johansson, 2009. "An analysis of dynamic risk in the Greater China equity markets," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 7(3), pages 299-320.
    11. Josh Ryan-Collins, 2015. "Is Monetary Financing Inflationary? A Case Study of the Canadian Economy, 1935-75," Economics Working Paper Archive wp_848, Levy Economics Institute.
    12. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
    13. Franck Sédillot, 2001. "La pente des taux contient-elle de l'information sur l'activité économique future ?," Economie & Prévision, La Documentation Française, vol. 147(1), pages 141-157.
    14. Hélène Huber, 2006. "Decomposing the causes of health care use inequalities: a micro-simulations approach," Working Papers hal-04138520, HAL.
    15. Jin Guo & Tetsuji Tanaka, 2020. "The Effectiveness of Self-Sufficiency Policy: International Price Transmissions in Beef Markets," Sustainability, MDPI, vol. 12(15), pages 1-23, July.
    16. Panagiotis Pegkas & Constantinos Tsamadias, 2017. "Are There Separate Effects of Male and Female Higher Education on Economic Growth? Evidence from Greece," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 8(1), pages 279-293, March.
    17. Presno, María José & Landajo, Manuel & Fernández González, Paula, 2018. "Stochastic convergence in per capita CO2 emissions. An approach from nonlinear stationarity analysis," Energy Economics, Elsevier, vol. 70(C), pages 563-581.
    18. Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," Econometrics, MDPI, vol. 9(1), pages 1-35, March.
    19. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
    20. Geoffrey Booth, G. & Ciner, Cetin, 1997. "International transmission on information in corn futures markets," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 175-187, October.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cam:camdae:2678. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jake Dyer (email available below). General contact details of provider: https://www.econ.cam.ac.uk/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.