Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference
Year of publication: |
2014
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Authors: | Sun, Yixiao |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 659-677
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Subject: | Asymptotic expansion | F-distribution | Heteroskedasticity and autocorrelation robust | Long-run variance | Robust standard error | Testing-optimal smoothing parameter choice | Type I and type II errors | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Heteroskedastizität | Heteroscedasticity | Robustes Verfahren | Robust statistics | Statistischer Test | Statistical test |
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