Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
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- Sainan Jin & Peter Phillips & Yixiao Sun, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Econometric Society 2004 North American Winter Meetings 299, Econometric Society.
- Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Yale School of Management Working Papers ysm347, Yale School of Management.
- Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," University of California at San Diego, Economics Working Paper Series qt6d36x00z, Department of Economics, UC San Diego.
Citations
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Cited by:
- Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
- Harding, Don & Pagan, Adrian, 2006.
"Synchronization of cycles,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
- Don Harding & Adrian Pagan, 2004. "Synchronization of cycles," CAMA Working Papers 2004-03, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Bernard Fingleton & Michelle Catherine Baddeley, 2011.
"Globalisation And Wage Differentials: A Spatial Analysis,"
Manchester School, University of Manchester, vol. 79(5), pages 1018-1034, September.
- Baddeley, M. & Fingleton, B., 2008. "Globalisation and Wage Differentials: A Spatial Analysis," Cambridge Working Papers in Economics 0845, Faculty of Economics, University of Cambridge.
- Hansen, Christian B., 2007. "Asymptotic properties of a robust variance matrix estimator for panel data when T is large," Journal of Econometrics, Elsevier, vol. 141(2), pages 597-620, December.
- 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.
- Smith, Richard J., 2005.
"Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 158-170, February.
- Richard Smith, 2004. "Automatic positive semi-definite HAC covariance matrix and GMM estimation," CeMMAP working papers CWP17/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Surajit Ray & N. E. Savin, 2008. "The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 91-109.
- João Valle e Azevedo, 2011.
"Rational vs. professional forecasts,"
Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- João Valle e Azevedo & João Tovar Jalles, 2011. "Rational vs. Professional Forecasts," Working Papers w201114, Banco de Portugal, Economics and Research Department.
- Justin Doran & Bernard Fingleton, 2018. "US Metropolitan Area Resilience: Insights from dynamic spatial panel estimation," Environment and Planning A, , vol. 50(1), pages 111-132, February.
- Richard Smith, 2004. "Automatic positive semi-definite HAC covariance matrix and GMM estimation," CeMMAP working papers 17/04, Institute for Fiscal Studies.
- Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
- Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
More about this item
Keywords
Consistent HAC estimation; Data determined kernel estimation; Long run variance; Mercer?s theorem; Power parameter; Sharp origin kernel;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-03-25 (Econometrics)
- NEP-ETS-2003-03-25 (Econometric Time Series)
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