An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
From MaRDI portal
Publication:5065204
DOI10.1080/07474938.2021.1874703zbMath1490.62276arXiv1911.03771OpenAlexW3138148614MaRDI QIDQ5065204
Publication date: 18 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.03771
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Simple and powerful GMM over-identification tests with accurate size
- Asymptotics for linear processes
- Some consequences of using the Chow tests in the context of autocorrelated disturbances
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Asymptotic F tests under possibly weak identification
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Multiple Time Series Regression with Integrated Processes
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator
- An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- HAC ESTIMATION BY AUTOMATED REGRESSION
This page was built for publication: An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation
