Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - In: Journal of Econometrics 178 (2014) P3, pp. 639-658
variance in the case of irregular functionals is the same as those for independent data. Using an orthonormal series long run … variance estimator, we construct a “pre-asymptotic” Wald statistic and show that it is asymptotically F distributed …