IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v96y2007i3p295-300.html
   My bibliography  Save this article

Robust M tests using kernel-based estimators with bandwidth equal to sample size

Author

Listed:
  • Lee, Wei-Ming

Abstract

No abstract is available for this item.

Suggested Citation

  • Lee, Wei-Ming, 2007. "Robust M tests using kernel-based estimators with bandwidth equal to sample size," Economics Letters, Elsevier, vol. 96(3), pages 295-300, September.
    • Handle: RePEc:eee:ecolet:v:96:y:2007:i:3:p:295-300
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(07)00022-5
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lobato I. N., 2001. "Testing That a Dependent Process Is Uncorrelated," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1066-1076, September.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
    3. Nicholas M. Kiefer & Timothy J. Vogelsang & Helle Bunzel, 2000. "Simple Robust Testing of Regression Hypotheses," Econometrica, Econometric Society, vol. 68(3), pages 695-714, May.
    4. 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.
    5. Kuan, Chung-Ming & Lee, Wei-Ming, 2006. "Robust M Tests Without Consistent Estimation of the Asymptotic Covariance Matrix," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1264-1275, September.
    6. Kiefer, Nicholas M. & Vogelsang, Timothy J., 2002. "Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal To Sample Size," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1350-1366, December.
    7. Jen-Je Su, 2005. "On the size and power of testing for no autocorrelation under weak assumptions," Applied Financial Economics, Taylor & Francis Journals, vol. 15(4), pages 247-257.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014. "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, vol. 181(2), pages 181-193.
    2. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.

    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.
    1. Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014. "Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix," Journal of Econometrics, Elsevier, vol. 181(2), pages 181-193.
    2. Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
    3. Shin‐Kun Peng & Takatoshi Tabuchi, 2007. "Spatial Competition in Variety and Number of Stores," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 16(1), pages 227-250, March.
    4. Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
    5. 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.
    6. Kim, Min Seong & Sun, Yixiao, 2013. "Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects," Journal of Econometrics, Elsevier, vol. 177(1), pages 85-108.
    7. Hong, Yongmiao & Linton, Oliver & McCabe, Brendan & Sun, Jiajing & Wang, Shouyang, 2024. "Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach," Journal of Econometrics, Elsevier, vol. 238(2).
    8. Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
    9. Guggenberger, Patrik & Smith, Richard J., 2008. "Generalized empirical likelihood tests in time series models with potential identification failure," Journal of Econometrics, Elsevier, vol. 142(1), pages 134-161, January.
    10. 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.
    11. Casini, Alessandro, 2024. "The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity," Journal of Econometrics, Elsevier, vol. 238(2).
    12. 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.
    13. Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
    14. Pötscher, Benedikt M. & Preinerstorfer, David, 2018. "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
    15. Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
    16. 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.
    17. 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.
    18. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    19. Kim, Seonjin & Zhao, Zhibiao & Shao, Xiaofeng, 2015. "Nonparametric functional central limit theorem for time series regression with application to self-normalized confidence interval," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 277-290.
    20. Issler, João Victor & Soares, Ana Flávia, 2019. "Central Bank credibility and inflation expectations: a microfounded forecasting approach," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 812, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:eee:ecolet:v:96:y:2007:i:3:p:295-300. 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.