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

DOI10.1016/J.JECONOM.2017.02.003zbMath1395.62269OpenAlexW1233361996MaRDI QIDQ524822

Jungbin Hwang, Yixiao Sun

Publication date: 26 April 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.02.003

zbMATH Keywords

fixed-smoothing asymptotics\(t\) distribution\(F\) distributionasymptotic variance matrixefficient GMMheteroskedasticity and autocorrelation robusttwo-step GMM

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Related Items (9)

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation ⋮ SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Asymptotic F tests under possibly weak identification ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity ⋮ Finite-sample corrected inference for two-step GMM in time series ⋮ Asymptotic theory for clustered samples ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions ⋮ Simple and trustworthy cluster-robust GMM inference

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