HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA

DOI10.1017/S0266466618000117zbMath1420.62396OpenAlexW2182512284WikidataQ129803730 ScholiaQ129803730MaRDI QIDQ5384845

Seunghwa Rho, Timothy J. Vogelsang

Publication date: 26 June 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466618000117

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS
• A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• Towards a unified asymptotic theory for autoregression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
• BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
• Spectral Analysis with Randomly Missed Observations: The Binomial Case
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Spectral analysis of a stationary time series using initially scarce data

This page was built for publication: HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA