On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
Author
Abstract
Suggested Citation
DOI: 10.2202/1941-1928.1062
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Pierre Perron & Linxia Ren, 2010. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series WP2010-049, Boston University - Department of Economics.
References listed on IDEAS
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220,
National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Faust, Jon, 1996. "Near Observational Equivalence and Theoretical size Problems with Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 12(4), pages 724-731, October.
- Jon Faust, 1999. "Conventional Confidence Intervals for Points on Spectrum Have Confidence Level Zero," Econometrica, Econometric Society, vol. 67(3), pages 629-638, May.
- Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Nicholas M. Kiefer & Timothy J. Vogelsang, 2002.
"Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation,"
Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
- Kiefer, Nicholas M., 2001. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation," Working Papers 01-13, Cornell University, Center for Analytic Economics.
- Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Preinerstorfer, David & Pötscher, Benedikt M., 2016.
"On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests,"
Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
- Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Engel, Charles, 2000.
"Long-run PPP may not hold after all,"
Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Working Papers 96-05, University of Washington, Department of Economics.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 0050, Department of Economics at the University of Washington.
- Charles Engel, 1998. "Long-Run PPP May Not Hold After All," Working Papers 0050, University of Washington, Department of Economics.
- Engel, C., 1996. "Long-Run PPP May Not Hold After All," Discussion Papers in Economics at the University of Washington 96-05, Department of Economics at the University of Washington.
- Charles Engel, 1996. "Long-Run PPP May Not Hold After All," NBER Working Papers 5646, National Bureau of Economic Research, Inc.
- Dufour, Jean-Marie, 2001. "Logique et tests d’hypothèses," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(2), pages 171-190, juin.
- DUFOUR, Jean-Marie, 2001.
"Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie,"
Cahiers de recherche
2001-15, Universite de Montreal, Departement de sciences economiques.
- Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
- Preinerstorfer, David & Pötscher, Benedikt M., 2016.
"On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests,"
Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
- Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
- Tsutomu Watanabe & Tomoyoshi Yabu, 2023.
"The demand for money at the zero interest rate bound,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 968-976, September.
- Tsutomu Watanabe & Tomoyoshi Yabu, 2018. "The Demand for Money at the Zero Interest Rate Bound," CARF F-Series CARF-F-444, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsutomu Watanabe & Tomoyoshi Yabu, 2022. "The Demand for Money at the Zero Interest Rate Bound," CARF F-Series CARF-F-552, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Tsutomu Watanabe & Tomoyoshi Yabu, 2022. "The Demand for Money at the Zero Interest Rate Bound," Working Papers on Central Bank Communication 044, University of Tokyo, Graduate School of Economics.
- Tsutomu Watanabe & Tomoyoshi Yabu, 2018. "The Demand for Money at the Zero Interest Rate Bound," Working Papers on Central Bank Communication 002, University of Tokyo, Graduate School of Economics.
- Davidson James & Rambaccussing Dooruj, 2015.
"A Test of the Long Memory Hypothesis Based on Self-Similarity,"
Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 115-141, July.
- Rambaccussing, Dooruj & Davidson, James, 2015. "A test of long memory hypothesis based on self-similarity," SIRE Discussion Papers 2015-81, Scottish Institute for Research in Economics (SIRE).
- James Davidson & Dooruj Rambaccussing, 2015. "A test of the long memory hypothesis based on self-similarity," Dundee Discussion Papers in Economics 286, Economic Studies, University of Dundee.
- Abhimanyu Gupta & Myung Hwan Seo, 2023.
"Robust Inference on Infinite and Growing Dimensional Time‐Series Regression,"
Econometrica, Econometric Society, vol. 91(4), pages 1333-1361, July.
- Abhimanyu Gupta & Myung Hwan Seo, 2019. "Robust Inference on Infinite and Growing Dimensional Time Series Regression," Papers 1911.08637, arXiv.org, revised Apr 2023.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse‐Becher, 2022. "Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1010-1030, August.
- Robert A. Amano & Simon van Norden, 1995. "Unit Root Tests and the Burden of Proof," Econometrics 9502005, University Library of Munich, Germany.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2021.
"Confidence Intervals for Bias and Size Distortion in IV and Local Projections-IV Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 307-324, January.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections — IV models," Working Papers 1841, Banco de España.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence intervals for bias and size distortion in IV and local projections–IV models," Economics Working Papers 1640, Department of Economics and Business, Universitat Pompeu Fabra.
- Gergely Ganics & Atsushi Inoue & Barbara Rossi, 2018. "Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models," Working Papers 1077, Barcelona School of Economics.
- Jean-Marie Dufour, 2003.
"Identification, weak instruments, and statistical inference in econometrics,"
Canadian Journal of Economics, Canadian Economics Association, vol. 36(4), pages 767-808, November.
- Jean-Marie Dufour, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," CIRANO Working Papers 2003s-49, CIRANO.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 2003-12, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023.
"Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
- Zhijie Xiao & Luiz Renato Lima, 2007.
"Testing Covariance Stationarity,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(6), pages 643-667.
- Xiao, Zhijie & Lima, Luiz Renato Regis de Oliveira, 2006. "Testing covariance stationarity," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 632, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Mehdi Hosseinkouchack & Uwe Hassler, 2016. "Powerful Unit Root Tests Free of Nuisance Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 533-554, July.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2017. "Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing," MPRA Paper 81053, University Library of Munich, Germany.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2017.
"A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 298-322.
- Min Seong Kim & Yixiao Sun & Jingjing Yang, 2015. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," Working Papers 049, Toronto Metropolitan University, Department of Economics.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2016. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," University of California at San Diego, Economics Working Paper Series qt2240n3n5, Department of Economics, UC San Diego.
- Sun, Yixiao, 2014.
"Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 659-677.
- Sun, Yixiao, 2013. "Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference," University of California at San Diego, Economics Working Paper Series qt8x8307rz, Department of Economics, UC San Diego.
- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
- Boudoukh, Jacob & Israel, Ronen & Richardson, Matthew, 2022. "Biases in long-horizon predictive regressions," Journal of Financial Economics, Elsevier, vol. 145(3), pages 937-969.
- Robert Amano & Tony S. Wirjanto, "undated".
"A Further Analysis of Exchange Rate Targeting in Canada,"
Staff Working Papers
94-2, Bank of Canada.
- Robert A. Amano & Tony S. Wirjanto, 1994. "A Further Analysis of Exchange Rate Targeting in Canada," Econometrics 9406001, University Library of Munich, Germany, revised 22 Jun 1994.
More about this item
Keywords
ill-posed problems; robust inference; HAC estimates; spectral density function at frequency zero;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:1. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.