Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

DOI10.1016/j.jspi.2006.06.033zbMath1104.62099OpenAlexW2164622888MaRDI QIDQ866643

Peter C. B. Phillips, Sainan Jin, Yixiao Sun

Publication date: 14 February 2007

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/318

zbMATH Keywords

tablespower parameterlong run variancedata-determined kernel estimationheteroscedasticity and autocorrelation consistent standard errorsharp origin kernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)

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