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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. Le, Vu & Wang, Qing, 2014. "Robust thresholding for Diffusion Index forecast," Economics Letters, Elsevier, vol. 125(1), pages 52-56.
  2. repec:ctc:serie1:def11 is not listed on IDEAS
  3. 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.
  4. Jungyoon Lee & Peter M Robinson, 2013. "Series Estimation under Cross-sectional Dependence," STICERD - Econometrics Paper Series 570, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  5. Smith, Richard J., 2005. "Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation," Econometric Theory, Cambridge University Press, vol. 21(01), pages 158-170, February.
  6. Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
  7. Min Seong Kim & Yixiao Sun, 2011. "Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects," Working Papers 029, Ryerson University, Department of Economics.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Majid M. Al-Sadoon, 2016. "Testing Subspace Granger Causality," Working Papers 850, Barcelona Graduate School of Economics.
  13. 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.
  14. Kuan, Chung-Ming & Hsieh, Yu-Wei, 2008. "Improved HAC covariance matrix estimation based on forecast errors," Economics Letters, Elsevier, vol. 99(1), pages 89-92, April.
  15. Hanck, Christoph & Demetrescu, Matei & Kruse, Robinson, 2015. "Fixed-b Asymptotics for t-Statistics in the Presence of Time-Varying Volatility," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112916, Verein für Socialpolitik / German Economic Association.
  16. 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.
  17. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
  18. 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.
  19. repec:cep:stiecm:/2013/570 is not listed on IDEAS
  20. 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.
  21. M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
  22. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  23. 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.
  24. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers 15292, National Bureau of Economic Research, Inc.
  25. 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.
  26. 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, Ryerson University, Department of Economics.
  27. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. "PPP Strikes Back: Aggregation And the Real Exchange Rate," The Quarterly Journal of Economics, Oxford University Press, vol. 120(1), pages 1-43.
  28. 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.
  29. Luke Hartigan, 2016. "Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties," Discussion Papers 2016-06, School of Economics, The University of New South Wales.
  30. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.
  31. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics.
  32. McElroy, Tucker & Politis, Dimitris N., 2012. "Fixed-B Asymptotics For The Studentized Mean From Time Series With Short, Long, Or Negative Memory," Econometric Theory, Cambridge University Press, vol. 28(02), pages 471-481, April.
  33. 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.
  34. RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.
  35. Lena Mareen Koerber & Daisuke Nagakura & Ippei Fujiwara, 2011. "How much Asymmetry is there in Bond Returns and Exchange Rates?," Bank of Japan Working Paper Series 11-E-10, Bank of Japan.
  36. 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(06), pages 1320-1368, December.
  37. Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
  38. Vogelsang, Timothy J. & Franses, Philip Hans, 2005. "Testing for common deterministic trend slopes," Journal of Econometrics, Elsevier, vol. 126(1), pages 1-24, May.
  39. 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.
  40. 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.).
  41. 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.
  42. Richard T. Baillie & Kun Ho Kim, 2016. "Is Robust Inference with OLS Sensible in Time Series Regressions? Investigating Bias and MSE Trade-offs with Feasible GLS and VAR Approaches," Working Paper Series 16-04, The Rimini Centre for Economic Analysis.
  43. 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.
  44. 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.
  45. 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.
  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. 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.
  48. 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.
  49. 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.
  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. 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.
  52. Nordman, Daniel J. & Bunzel, Helle & Lahiri, Soumendra N., 2013. "A Nonstandard Empirical Likelihood for Time Series," Staff General Research Papers Archive 37203, Iowa State University, Department of Economics.
  53. 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.
  54. Ulrich Mueller & Mark W. Watson, 2013. "Measuring Uncertainty about Long-Run Prediction," NBER Working Papers 18870, National Bureau of Economic Research, Inc.
  55. Wei-Ming Lee & Chung-Ming Kuan & Yu-Chin Hsu, 2014. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 14-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  56. A. Melander & G. Sismanidis & D. Grenouilleau, 2007. "The track record of the Commission's forecasts - an update," European Economy - Economic Papers 2008 - 2015 291, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  57. Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
  58. Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
  59. 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.
  60. James G. MacKinnon, 2001. "Computing Numerical Distribution Functions in Econometrics," Working Papers 1037, Queen's University, Department of Economics.
  61. 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.
  62. Jungyoon Lee & Peter Robinson, 2016. "Series estimation under cross-sectional dependence," LSE Research Online Documents on Economics 63380, London School of Economics and Political Science, LSE Library.
  63. Ulrich K. Müller & Mark W. Watson, 2015. "Low-Frequency Econometrics," NBER Working Papers 21564, National Bureau of Economic Research, Inc.
  64. 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.
  65. 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.
  66. Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
  67. 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.
  68. Lee, Jungyoon & Robinson, Peter M., 2016. "Series estimation under cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 190(1), pages 1-17.
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