HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
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Publication:4807336
DOI10.1017/S026646660218604XzbMath1033.62081OpenAlexW2088890591MaRDI QIDQ4807336
Nicholas M. Kiefer, Timothy J. Vogelsang
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646660218604x
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)
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