Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation

DOI10.1108/S0731-905320140000033002zbMath1453.62645OpenAlexW1551868450MaRDI QIDQ5133504

Yixiao Sun

Publication date: 10 November 2020

Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-905320140000033002

zbMATH Keywords

fixed-smoothing asymptoticslocal-to-unityautocorrelation robust teststrong autocorrelationweak unit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

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SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Asymptotic F tests under possibly weak identification ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Testing-optimal kernel choice in HAR inference ⋮ A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data ⋮ Asymptotic \(F\) and \(t\) tests in an efficient GMM setting ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions

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