Asymptotic F test in regressions with observations collected at high frequency over long span
From MaRDI portal
Publication:6108300
DOI10.1016/j.jeconom.2022.10.007OpenAlexW3101557302MaRDI QIDQ6108300
No author found.
Publication date: 29 June 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.10.007
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Asymptotics for recurrent diffusions with application to high frequency regression
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- Discrete and continuous time cointegration
- Weak convergence and empirical processes. With applications to statistics
- Estimation of longrun variance of continuous time stochastic process using discrete sample
- Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- A Central Limit Theorem for Additive Random Functions
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- On the Moments of the Modulus of Continuity of Itô Processes
- On the functional central limit theorem and the law of the iterated logarithm for Markov processes
- Automatic Lag Selection in Covariance Matrix Estimation
- SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS
- Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework
- A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
- HAC ESTIMATION BY AUTOMATED REGRESSION
This page was built for publication: Asymptotic F test in regressions with observations collected at high frequency over long span
