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Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation

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Cited by:

  1. Jen-Je Su, 2004. "Testing for no autocorrelation using a modified Lobato test," Economics Bulletin, AccessEcon, vol. 3(46), pages 1-9.
  2. Al-Sadoon, Majid M., 2019. "Testing subspace Granger causality," Econometrics and Statistics, Elsevier, vol. 9(C), pages 42-61.
  3. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(1), pages 176-200, February.
  4. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  5. Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015. "Nonparametric rank tests for non-stationary panels," Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
  6. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
  7. 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.
  8. 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.
  9. Fabrizio Iacone & Stephen J. Leybourne & A. M. Robert Taylor, 2014. "A FIXED- b TEST FOR A BREAK IN LEVEL AT AN UNKNOWN TIME UNDER FRACTIONAL INTEGRATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 40-54, January.
  10. 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.
  11. Carlos Capistr¡N & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 365-396, March.
  12. Andrews, Donald W.K. & Shi, Xiaoxia, 2014. "Nonparametric inference based on conditional moment inequalities," Journal of Econometrics, Elsevier, vol. 179(1), pages 31-45.
  13. J. Hidalgo & M. Schafgans, 2020. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Papers 2006.14409, arXiv.org.
  14. Pötscher, Benedikt M. & Preinerstorfer, David, 2018. "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
  15. 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.
  16. Pötscher, Benedikt M. & Preinerstorfer, David, 2017. "Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing," MPRA Paper 81053, University Library of Munich, Germany.
  17. 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.
  18. 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.
  19. 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.
  20. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
  21. 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.
  22. Jin, Sainan & Phillips, Peter C.B. & Sun, Yixiao, 2006. "A new approach to robust inference in cointegration," Economics Letters, Elsevier, vol. 91(2), pages 300-306, May.
  23. 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.
  24. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
  25. 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.
  26. Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014. "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, vol. 181(2), pages 181-193.
  27. Koo, Bonsoo & Seo, Myung Hwan, 2015. "Structural-break models under mis-specification: Implications for forecasting," Journal of Econometrics, Elsevier, vol. 188(1), pages 166-181.
  28. Carlos Capistrán & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2‐3), pages 365-396, March.
  29. 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.
  30. 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.
  31. 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.
  32. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
  33. Jungbin Hwang & Gonzalo Valdés, 2020. "Finite-sample Corrected Inference for Two-step GMM in Time Series," Working papers 2020-02, University of Connecticut, Department of Economics.
  34. Laurini, Márcio Poletti & Ohashi, Alberto, 2015. "A noisy principal component analysis for forward rate curves," European Journal of Operational Research, Elsevier, vol. 246(1), pages 140-153.
  35. David Powell, 2017. "Inference with Correlated Clusters," Working Papers WR-1137-1, RAND Corporation.
  36. Shin‐Kun Peng & Takatoshi Tabuchi, 2007. "Spatial Competition in Variety and Number of Stores," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 16(1), pages 227-250, March.
  37. Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
  38. Hugo Ferrer-Pérez & María-Isabel Ayuda & Antonio Aznar, 2019. "Improving the Performance of a Long-Run Variance Ratio Test for a Unit Root," The Japanese Economic Review, Springer, vol. 70(2), pages 258-274, June.
  39. Breitung, Jörg & Pesaran, Mohammad Hashem, 2005. "Unit roots and cointegration in panels," Discussion Paper Series 1: Economic Studies 2005,42, Deutsche Bundesbank.
  40. Eduard Baum??hl & ??tefan Ly??csa, 2014. "How smooth is the stock market integration of CEE-3?," William Davidson Institute Working Papers Series wp1079, William Davidson Institute at the University of Michigan.
  41. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355, April.
  42. Vogelsang, Timothy J. & Franses, Philip Hans, 2005. "Testing for common deterministic trend slopes," Journal of Econometrics, Elsevier, vol. 126(1), pages 1-24, May.
  43. Perron Pierre & Ren Linxia, 2011. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-34, October.
  44. Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
  45. Danish & Recep Ulucak, 2020. "The pathway toward pollution mitigation: Does institutional quality make a difference?," Business Strategy and the Environment, Wiley Blackwell, vol. 29(8), pages 3571-3583, December.
  46. Thiago Revil T. Ferreira, 2018. "Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations," International Finance Discussion Papers 1223, Board of Governors of the Federal Reserve System (U.S.).
  47. Xu, Ke-Li, 2016. "Multivariate trend function testing with mixed stationary and integrated disturbances," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 38-57.
  48. Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019. "HAR Testing for Spurious Regression in Trend," Econometrics, MDPI, Open Access Journal, vol. 7(4), pages 1-28, December.
  49. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  50. Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014. "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, vol. 178(P3), pages 539-557.
  51. 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.
  52. Choi, Hwan-sik, 2016. "Information theory for maximum likelihood estimation of diffusion models," Journal of Econometrics, Elsevier, vol. 191(1), pages 110-128.
  53. 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.
  54. Politis, D N, 2009. "Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices," University of California at San Diego, Economics Working Paper Series qt66w826hz, Department of Economics, UC San Diego.
  55. Lee, Wei-Ming, 2007. "Robust M tests using kernel-based estimators with bandwidth equal to sample size," Economics Letters, Elsevier, vol. 96(3), pages 295-300, September.
  56. Jean-Paul Chavas, 2008. "On Storage Behavior Under Imperfect Competition, with Application to the American Cheese Market," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 33(4), pages 325-339, December.
  57. 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.
  58. 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.
  59. 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.
  60. Mototsugu Shintani & Tomoyoshi Yabu & Daisuke Nagakura, 2008. "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series 08-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
  61. Jose E. Gomez-Gonzalez & Santiago Gomez-Malagon & Luis F. Melo-Velandia & Daniel Ordoñez-Callamand, 2020. "A rank approach for studying cross-currency bases and the covered interest rate parity," Empirical Economics, Springer, vol. 59(1), pages 357-369, July.
  62. Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, December.
  63. Yixiao Sun & Xuexin Wang, 2019. "An Asymptotically F-Distributed Chow Test in the Presence of Heteroscedasticity and Autocorrelation," Papers 1911.03771, arXiv.org.
  64. Peter Pedroni, 2018. "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers 2018-09, Department of Economics, Williams College.
  65. 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.
  66. Sun, Yixiao & Yang, Jingjing, 2020. "Testing-optimal kernel choice in HAR inference," Journal of Econometrics, Elsevier, vol. 219(1), pages 123-136.
  67. Hidalgo, Javier & Schafgans, Marcia, 2021. "Inference without smoothing for large panels with cross-sectional and temporal dependence," Journal of Econometrics, Elsevier, vol. 223(1), pages 125-160.
  68. Francq, Christian & Zakoïan, Jean-Michel, 2007. "HAC estimation and strong linearity testing in weak ARMA models," Journal of Multivariate Analysis, Elsevier, vol. 98(1), pages 114-144, January.
  69. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers 1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
  70. 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.
  71. Li, Kunpeng & Cui, Guowei & Lu, Lina, 2020. "Efficient estimation of heterogeneous coefficients in panel data models with common shocks," Journal of Econometrics, Elsevier, vol. 216(2), pages 327-353.
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