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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Citations

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Cited by:

  1. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
  2. Jiang, Bibo & Lu, Ye & Park, Joon Y., 2020. "Testing for Stationarity at High Frequency," Journal of Econometrics, Elsevier, vol. 215(2), pages 341-374.
  3. McCulloch, J. Huston, 2016. "Moment Ratio estimation of autoregressive/unit root parameters and autocorrelation-consistent standard errors," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 712-733.
  4. Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Kim, Min Seong & Sun, Yixiao, 2013. "Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 177(1), pages 85-108.
  6. Pötscher, Benedikt M. & Preinerstorfer, David, 2018. "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
  7. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
  8. repec:cdl:ucsdec:qt2240n3n5 is not listed on IDEAS
  9. Ross McKitrick & Timothy Vogelsang, 2011. "Multivariate trend comparisons between autocorrelated climate series with general trend regressors," Working Papers 1109, University of Guelph, Department of Economics and Finance.
  10. Lu, Ye & Park, Joon Y., 2019. "Estimation of longrun variance of continuous time stochastic process using discrete sample," Journal of Econometrics, Elsevier, vol. 210(2), pages 236-267.
  11. Laura Coroneo & Fabrizio Iacone, 2020. "Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 391-409, June.
  12. Wilhelm, Daniel, 2015. "Optimal Bandwidth Selection For Robust Generalized Method Of Moments Estimation," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1054-1077, October.
  13. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
  14. repec:cdl:ucsdec:qt1c62d8xf is not listed on IDEAS
  15. Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
  16. Kajal Lahiri & Liu Yang, 2018. "Confidence Bands for ROC Curves With Serially Dependent Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 115-130, January.
  17. Kolokotrones, Thomas & Stock, James H. & Walker, Christopher D., 2024. "Is Newey–West optimal among first-order kernels?," Journal of Econometrics, Elsevier, vol. 240(2).
  18. Wang, Yulong & Xiao, Zhijie, 2022. "Estimation and inference about tail features with tail censored data," Journal of Econometrics, Elsevier, vol. 230(2), pages 363-387.
  19. Ulrich K. Müller & Mark W. Watson, 2020. "Low-Frequency Analysis of Economic Time Series," Working Papers 2020-13, Princeton University. Economics Department..
  20. Annika Betken, 2016. "Testing for Change-Points in Long-Range Dependent Time Series by Means of a Self-Normalized Wilcoxon Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 785-809, November.
  21. Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
  22. Rho, Seunghwa & Vogelsang, Timothy J., 2021. "Inference in time series models using smoothed-clustered standard errors," Journal of Econometrics, Elsevier, vol. 224(1), pages 113-133.
  23. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
  24. repec:cdl:ucsdec:qt8479f4s2 is not listed on IDEAS
  25. repec:cdl:ucsdec:qt64x4z265 is not listed on IDEAS
  26. Sun, Yixiao, 2014. "Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference," Journal of Econometrics, Elsevier, vol. 178(P3), pages 659-677.
  27. Hwang, Jungbin & Sun, Yixiao, 2018. "Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework," Journal of Econometrics, Elsevier, vol. 207(2), pages 381-405.
  28. Vogelsang, Timothy J., 2012. "Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects," Journal of Econometrics, Elsevier, vol. 166(2), pages 303-319.
  29. Dayton M. Lambert & Kevin T. McNamara, 2009. "Location determinants of food manufacturers in the United States, 2000–2004: are nonmetropolitan counties competitive?," Agricultural Economics, International Association of Agricultural Economists, vol. 40(6), pages 617-630, November.
  30. Chen, Xiaohong & Liao, Zhipeng, 2015. "Sieve semiparametric two-step GMM under weak dependence," Journal of Econometrics, Elsevier, vol. 189(1), pages 163-186.
  31. Sebastian Calonico & Matias D. Cattaneo & Max H. Farrell, 2018. "Coverage Error Optimal Confidence Intervals for Local Polynomial Regression," Papers 1808.01398, arXiv.org, revised Jul 2021.
  32. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
  33. Grigory Franguridi & Bulat Gafarov & Kaspar Wüthrich, 2021. "Conditional Quantile Estimators: A Small Sample Theory," CESifo Working Paper Series 9046, CESifo.
  34. Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
  35. Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
  36. Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 465-481, March.
  37. Daniel J. Nordman & Helle Bunzel & Soumendra N. Lahiri, 2012. "A Non-standard Empirical Likelihood for Time Series," CREATES Research Papers 2012-55, Department of Economics and Business Economics, Aarhus University.
  38. Hwang, Jungbin, 2021. "Simple and trustworthy cluster-robust GMM inference," Journal of Econometrics, Elsevier, vol. 222(2), pages 993-1023.
  39. Kaplan, David M., 2015. "Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion," Journal of Econometrics, Elsevier, vol. 185(1), pages 20-32.
  40. Pierre Perron & Eduardo Zorita & Timothy J. Vogelsang & Nasreen Nawaz, 2017. "Estimation and Inference of Linear Trend Slope Ratios With an Application to Global Temperature Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 640-667, September.
  41. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  42. Manuel Landajo & María Presno, 2013. "Nonparametric pseudo-Lagrange multiplier stationarity testing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(1), pages 125-147, February.
  43. Sun, Yixiao, 2011. "Robust trend inference with series variance estimator and testing-optimal smoothing parameter," Journal of Econometrics, Elsevier, vol. 164(2), pages 345-366, October.
  44. Vogelsang, Timothy J. & Wagner, Martin, 2014. "Integrated modified OLS estimation and fixed-b inference for cointegrating regressions," Journal of Econometrics, Elsevier, vol. 178(2), pages 741-760.
  45. 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.
  46. Yi-Ting Chen & Zhongjun Qu, 2015. "M Tests with a New Normalization Matrix," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 617-652, May.
  47. Sun, Yixiao & Phillips, Peter C.B. & Jin, Sainan, 2011. "Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1320-1368, December.
  48. repec:cdl:ucsdec:qt0ck2109g is not listed on IDEAS
  49. Jungbin Hwang & Gonzalo Valdés, 2020. "Low Frequency Cointegrating Regression in the Presence of Local to Unity Regressors and Unknown Form of Serial Dependence," Working papers 2020-03, University of Connecticut, Department of Economics, revised Aug 2020.
  50. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
  51. Landajo, Manuel & Presno, María José, 2010. "Nonparametric pseudo-Lagrange multiplier stationarity testing," MPRA Paper 25659, University Library of Munich, Germany.
  52. Kaicheng Chen & Timothy J. Vogelsang, 2023. "Fixed-b Asymptotics for Panel Models with Two-Way Clustering," Papers 2309.08707, arXiv.org, revised Aug 2024.
  53. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
  54. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
  55. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
  56. repec:cdl:ucsdec:qt83b4q8pk is not listed on IDEAS
  57. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
  58. repec:cdl:ucsdec:qt6qk200q8 is not listed on IDEAS
  59. Xuexin Wang & Yixiao Sun, 2020. "An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(4), pages 536-550, July.
  60. Zhang, Jingsi & Jiang, Wenxin & Shao, Xiaofeng, 2013. "Bayesian model selection based on parameter estimates from subsamples," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 979-986.
  61. Dumitru, Ana Maria H. & Hizmeri, Rodrigo & Izzeldin, Marwan, 2025. "Forecasting the realized variance in the presence of intraday periodicity," Journal of Banking & Finance, Elsevier, vol. 170(C).
  62. Mertens, Elmar, 2012. "Are spectral estimators useful for long-run restrictions in SVARs?," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1831-1844.
  63. Bester, C. Alan & Conley, Timothy G. & Hansen, Christian B., 2011. "Inference with dependent data using cluster covariance estimators," Journal of Econometrics, Elsevier, vol. 165(2), pages 137-151.
  64. repec:cdl:ucsdec:qt19f0d9wz is not listed on IDEAS
  65. Yang, Jingjing & Vogelsang, Timothy J., 2018. "Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators," Economics Letters, Elsevier, vol. 165(C), pages 21-27.
  66. repec:cdl:ucsdec:qt58r2z98m is not listed on IDEAS
  67. Hwang, Taeyoon & Vogelsang, Timothy J., 2024. "Some fixed-b results for regressions with high frequency data over long spans," Journal of Econometrics, Elsevier, vol. 244(2).
  68. Jungbin Hwang & Gonzalo Valdés, 2025. "HAR Inference for Quantile Regression in Time Series," Working papers 2025-03, University of Connecticut, Department of Economics.
  69. repec:cdl:ucsdec:qt8cx0t4gc is not listed on IDEAS
  70. repec:cdl:ucsdec:qt82k1x4rd is not listed on IDEAS
  71. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
  72. Zhang, Xianyang & Shao, Xiaofeng, 2013. "On a general class of long run variance estimators," Economics Letters, Elsevier, vol. 120(3), pages 437-441.
  73. repec:cdl:ucsdec:qt6164c110 is not listed on IDEAS
  74. Saraswata Chaudhuri & Eric Renault, 2015. "Shrinkage of Variance for Minimum Distance Based Tests," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 328-351, March.
  75. Daniel Wilhelm, 2014. "Optimal bandwidth selection for robust generalized method of moments estimation," CeMMAP working papers 15/14, Institute for Fiscal Studies.
  76. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  77. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
  78. Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
  79. 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.
  80. Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
  81. McElroy, Tucker S. & Politis, Dimitris N., 2014. "Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics," Journal of Econometrics, Elsevier, vol. 182(1), pages 211-225.
  82. Pellatt, Daniel F. & Sun, Yixiao, 2023. "Asymptotic F test in regressions with observations collected at high frequency over long span," Journal of Econometrics, Elsevier, vol. 235(2), pages 1281-1309.
  83. Eben Lazarus & Daniel J. Lewis & James H. Stock, 2021. "The Size‐Power Tradeoff in HAR Inference," Econometrica, Econometric Society, vol. 89(5), pages 2497-2516, September.
  84. 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.
  85. Hwang, Jungbin & Valdés, Gonzalo, 2023. "Finite-sample corrected inference for two-step GMM in time series," Journal of Econometrics, Elsevier, vol. 234(1), pages 327-352.
  86. Chen, Bin & Huang, Liquan, 2018. "Nonparametric testing for smooth structural changes in panel data models," Journal of Econometrics, Elsevier, vol. 202(2), pages 245-267.
  87. Travaglini, Guido, 2010. "Dynamic Econometric Testing of Climate Change and of its Causes," MPRA Paper 23600, University Library of Munich, Germany.
  88. Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2025. "Fast inference for quantile regression with tens of millions of observations," Journal of Econometrics, Elsevier, vol. 249(PA).
  89. Hualde, Javier & Iacone, Fabrizio, 2017. "Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes," Economics Letters, Elsevier, vol. 150(C), pages 39-43.
  90. Zhang, Xianyang, 2016. "Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework," Journal of Econometrics, Elsevier, vol. 193(1), pages 123-146.
  91. Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.
  92. 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.
  93. Yifan Li, 2024. "Correcting the bias of the sample cross‐covariance estimator," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(2), pages 214-247, March.
  94. Preinerstorfer, David & Pötscher, Benedikt M., 2016. "On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
  95. repec:cdl:ucsdec:qt66w826hz is not listed on IDEAS
  96. Jin Lee, 2012. "Nonparametric Testing for Long-Run Neutrality with Applications to US Money and Output Data," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 183-202, August.
  97. Yang, Jingjing & Vogelsang, Timothy J., 2025. "A bias reduced long run variance estimator with a new first-order kernel," Economics Letters, Elsevier, vol. 252(C).
  98. Ulrich K. Müller, 2014. "HAC Corrections for Strongly Autocorrelated Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 311-322, July.
  99. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, vol. 5(1), pages 1-26, December.
  100. Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
  101. Manuel Landajo & María José Presno, 2010. "Stationarity testing under nonlinear models. Some asymptotic results," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 392-405, September.
  102. Kim, Min Seong & Sun, Yixiao, 2011. "Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix," Journal of Econometrics, Elsevier, vol. 160(2), pages 349-371, February.
  103. Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
  104. repec:cdl:ucsdec:qt8x8307rz is not listed on IDEAS
  105. 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.
  106. Xiaohong Chen & Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin & Myunghyun Song, 2023. "SGMM: Stochastic Approximation to Generalized Method of Moments," Papers 2308.13564, arXiv.org, revised Oct 2023.
  107. Maxwell L. King & Sivagowry Sriananthakumar, 2015. "Point Optimal Testing: A Survey of the Post 1987 Literature," Monash Econometrics and Business Statistics Working Papers 5/15, Monash University, Department of Econometrics and Business Statistics.
  108. Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).
  109. Kin Wai Chan & Chun Yip Yau, 2017. "High-order Corrected Estimator of Asymptotic Variance with Optimal Bandwidth," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 866-898, December.
  110. Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
  111. Chen, Kaicheng & Vogelsang, Timothy J., 2024. "Fixed-b asymptotics for panel models with two-way clustering," Journal of Econometrics, Elsevier, vol. 244(1).
  112. Masao Ogaki & Sungwook Park, 2007. "Long-run real exchange rate changes and the properties of the variance of k-differences," Working Papers 07-05, Ohio State University, Department of Economics.
  113. McElroy, Tucker & Politis, Dimitris N., 2013. "Distribution theory for the studentized mean for long, short, and negative memory time series," Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
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  115. Alessandro Casini, 2021. "The Fixed-b Limiting Distribution and the ERP of HAR Tests Under Nonstationarity," Papers 2111.14590, arXiv.org, revised Aug 2024.
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