Robust trend inference with series variance estimator and testing-optimal smoothing parameter

DOI10.1016/j.jeconom.2011.06.017zbMath1441.62880OpenAlexW3124760465MaRDI QIDQ738032

Yixiao Sun

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.06.017

zbMATH Keywords

asymptotic expansionrobust standard errortype I and type II errorsseries method\(F\)-distributionHotelling's \(T^{2}\) distributionlong run variancetesting-optimal smoothing parameter choicetrend inference

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (23)

Multivariate trend function testing with mixed stationary and integrated disturbances ⋮ Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework ⋮ Testing for common trends in semi‐parametric panel data models with fixed effects ⋮ Ridge regression revisited: debiasing, thresholding and bootstrap ⋮ An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation ⋮ Fixed-smoothing asymptotics for time series ⋮ SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS ⋮ Asymptotic F tests under possibly weak identification ⋮ Asymptotic F test in regressions with observations collected at high frequency over long span ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing for Trend Specifications in Panel Data Models ⋮ An Asymptotic F Test for Uncorrelatedness in the Presence of Time Series Dependence ⋮ Finite-sample corrected inference for two-step GMM in time series ⋮ On a general class of long run variance estimators ⋮ Testing-optimal kernel choice in HAR inference ⋮ Asymptotic \(F\) and \(t\) tests in an efficient GMM setting ⋮ A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions ⋮ Sieve inference on possibly misspecified semi-nonparametric time series models ⋮ Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference ⋮ NONPARAMETRIC COINTEGRATING REGRESSION WITH ENDOGENEITY AND LONG MEMORY ⋮ Simple and powerful GMM over-identification tests with accurate size ⋮ Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion ⋮ MTests with a New Normalization Matrix

Uses Software

• sapa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for common deterministic trend slopes
• A theory of robust long-run variance estimation
• The commutation matrix: Some properties and applications
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• Asymptotics for linear processes
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS
• Spectral Analysis for Physical Applications
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• The Uniform Distribution on a Sphere in ${\bf R}^S$. Properties of Projections. I
• Spectral Analysis of Signals: The Missing Data Case
• Fixed-b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Automatic Lag Selection in Covariance Matrix Estimation
• The Generalization of Student's Ratio
• Confidence intervals using orthonormally weighted standardized time series
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• 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: Robust trend inference with series variance estimator and testing-optimal smoothing parameter