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Citations for "Simple Robust Testing of Regression Hypotheses"

by Kiefer, Nicholas M. & Bunzel, Helle & Vogelsang, Timothy & Vogelsang, Timothy & Bunzel, Helle

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  1. Victor Chernozhukov & Iván Fernández-Val, 2011. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," Review of Economic Studies, Oxford University Press, vol. 78(2), pages 559-589.
  2. Jen-Je Su, 2005. "On the size and power of testing for no autocorrelation under weak assumptions," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 247-257.
  3. 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.
  4. A. Melander & G. Sismanidis & D. Grenouilleau, 2007. "The track record of the Commission's forecasts - an update," European Economy - Economic Papers 291, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  5. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
  6. 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.
  7. Peter Pedroni & Tim Vogelsang, 2005. "Robust Unit Root and Cointegration Rank Tests for Panels and Large Systems," Department of Economics Working Papers 2005-04, Department of Economics, Williams College.
  8. Vogelsang, Timothy J. & Franses, Philip Hans, 2001. "Testing for Common Deterministic Trend Slopes," Working Papers 01-15, Cornell University, Center for Analytic Economics.
  9. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  10. Hsieh Hsih-chia & Hsieh Pei-gin, 2004. "A Generalized Theory of Monetary and Macroeconomics," Money Macro and Finance (MMF) Research Group Conference 2004 50, Money Macro and Finance Research Group.
  11. Shin-Kun Peng & Takatoshi Tabuchi, 2005. "Spatial Competition in Variety and Number of Stores," CIRJE F-Series CIRJE-F-360, CIRJE, Faculty of Economics, University of Tokyo.
  12. repec:ctc:serie1:def11 is not listed on IDEAS
  13. Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
  14. Richard Smith, 2004. "Automatic positive semi-definite HAC covariance matrix and GMM estimation," CeMMAP working papers CWP17/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Nordman, Daniel J. & Bunzel, Helle & Lahiri, Soumendra N., 2013. "A Nonstandard Empirical Likelihood for Time Series," Staff General Research Papers 37203, Iowa State University, Department of Economics.
  16. James G. MacKinnon, 2001. "Computing Numerical Distribution Functions in Econometrics," Working Papers 1037, Queen's University, Department of Economics.
  17. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
  18. Helle Bunzel, 2004. "Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand," Econometric Society 2004 North American Summer Meetings 219, Econometric Society.
  19. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  20. Ippei Fujiwara & Lena Mareen Körber & Daisuke Nagakura, 2011. "How much asymmetry is there in bond returns and exchange rates?," Globalization and Monetary Policy Institute Working Paper 93, Federal Reserve Bank of Dallas.
  21. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(01), pages 176-200, February.
  22. Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
  23. McElroy, Tucker & Politis, Dimitris, 2013. "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics," University of California at San Diego, Economics Working Paper Series qt6164c110, Department of Economics, UC San Diego.
  24. Jungyoon Lee & Peter M Robinson, 2013. "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series /2013/570, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  25. Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
  26. 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.
  27. 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.
  28. Patrik Guggenberger & Richard Smith, 2005. "Generalized empirical likelihood tests in time series models with potential identification failure," CeMMAP working papers CWP01/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  29. Wei-Ming Lee & Chung-Ming Kuan, 2006. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 06-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  30. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  31. George Kapetanios & Zacharias Psaradakis, 2007. "Semiparametric Sieve-Type GLS Inference in Regressions with Long-Range Dependence," Working Papers 587, Queen Mary University of London, School of Economics and Finance.
  32. Bunzel, Helle, 2006. "FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS," Econometric Theory, Cambridge University Press, vol. 22(04), pages 743-755, August.
  33. 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.
  34. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics.
  35. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Helene Rey, 2003. "PPP Strikes Back: Aggregation and the Real Exchange Rate," IEHAS Discussion Papers 0307, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  36. Chung-Ming Kuan & Yu-Wei Hsieh, 2006. "Improved HAC Covariance Matrix Estimation Based on Forecast Errors," IEAS Working Paper : academic research 06-A008, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  37. Yixiao Sun & Peter C.B. Phillips & Sainan Jin, 2010. "Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels," Cowles Foundation Discussion Papers 1749, Cowles Foundation for Research in Economics, Yale University.
  38. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  39. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
  40. Sun, Yixiao X & Phillips, Peter C. B. & Jin, Sainan, 2005. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗," University of California at San Diego, Economics Working Paper Series qt16b3j2hd, Department of Economics, UC San Diego.
  41. Wouter J. den Haan & Andrew T. Levin, 2000. "Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order," NBER Technical Working Papers 0255, National Bureau of Economic Research, Inc.
  42. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
  43. Le, Vu & Wang, Qing, 2014. "Robust thresholding for Diffusion Index forecast," Economics Letters, Elsevier, vol. 125(1), pages 52-56.
  44. Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
  45. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
  46. 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.
  47. Jungyoon Lee & Peter M. Robinson, 2013. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 58188, London School of Economics and Political Science, LSE Library.
  48. Politis, D N & McElroy, Tucker S, 2009. "Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory," University of California at San Diego, Economics Working Paper Series qt70c4x0sq, Department of Economics, UC San Diego.
  49. Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
  50. Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation for Research in Economics, Yale University.
  51. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
  52. 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.
  53. Deepa Dhume Datta & Wenxin Du, 2012. "Nonparametric HAC estimation for time series data with missing observations," International Finance Discussion Papers 1060, Board of Governors of the Federal Reserve System (U.S.).
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