POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
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Publication:3108569
DOI10.1017/S0266466611000077zbMath1442.62205OpenAlexW1487924164MaRDI QIDQ3108569
Peter C. B. Phillips, Sainan Jin, Yixiao Sun
Publication date: 4 January 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000077
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)
Related Items (5)
Is Newey-West optimal among first-order kernels? ⋮ Controlling the size of autocorrelation robust tests ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions ⋮ ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS ⋮ Robust trend inference with series variance estimator and testing-optimal smoothing parameter
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