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Optimal HAR inference (Q6646170)

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scientific article; zbMATH DE number 7951817

Language	Label	Description	Also known as
English	Optimal HAR inference	scientific article; zbMATH DE number 7951817

Statements

scholarly article

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Optimal HAR inference (English)

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Quantitative Economics

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publication date

29 November 2024

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zbMATH Keywords

heteroskedasticity and autocorrelation robust inference

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long-run variance

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MaRDI profile type

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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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Optimal Inference in a Class of Regression Models

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Simple and honest confidence intervals in nonparametric regression

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Interpolation of Lipschitz functions

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Contiguity of the Whittle measure for a Gaussian time series

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Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis

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Tests of Conditional Predictive Ability

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Asymptotic equivalence of spectral density estimation and Gaussian white noise

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BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP

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Asymptotic \(F\) and \(t\) tests in an efficient GMM setting

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Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework

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<i>t</i>-Statistic Based Correlation and Heterogeneity Robust Inference

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The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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Locally robust tests for serial correlation in least squares regression

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Simple Robust Testing of Regression Hypotheses

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Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Robust tests for spherical symmetry and their application to least squares regression

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HAR Inference: Recommendations for Practice

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The Size‐Power Tradeoff in HAR Inference

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Testing Statistical Hypotheses

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Most Powerful Tests of Composite Hypotheses. I. Normal Distributions

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Conditional Superior Predictive Ability

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Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods

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Testing Models of Low-Frequency Variability

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A theory of robust long-run variance estimation

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Spatial correlation robust inference

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Spatial Correlation Robust Inference in Linear Regression and Panel Models

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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HAC ESTIMATION BY AUTOMATED REGRESSION

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Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

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Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters

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Controlling the size of autocorrelation robust tests

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Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing

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On size and power of heteroskedasticity and autocorrelation robust tests

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ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION

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Robust trend inference with series variance estimator and testing-optimal smoothing parameter

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A heteroskedasticity and autocorrelation robust<i>F</i>test using an orthonormal series variance estimator

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Fixed-smoothing Asymptotics and Asymptotic <i>F</i> and <i>t</i> Tests in the Presence of Strong Autocorrelation

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Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework

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Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference

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Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

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EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6646170

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