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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Sun, Yixiao - 2006

-parametric tests. Small-b asymptotics involve standard limit theory such as standard normal or chi-squared limits, whereas fixed …

Persistent link: https://www.econbiz.de/10012783449

Asymptotic F tests under possibly weak identification

Martínez-Iriarte, Julián; Sun, Yixiao; Wang, Xuexin - In: Journal of econometrics 218 (2020) 1, pp. 140-177

Persistent link: https://www.econbiz.de/10012482936

Asymptotic F and t tests in an efficient GMM setting

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 198 (2017) 2, pp. 277-295

Persistent link: https://www.econbiz.de/10011818796

Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Sun, Yixiao - In: Journal of econometrics 164 (2011) 2, pp. 345-366

Persistent link: https://www.econbiz.de/10009301901

Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 659-677

Persistent link: https://www.econbiz.de/10010257366

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Sun, Yixiao - 2010

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...

Persistent link: https://www.econbiz.de/10013148975

Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

Kim, Min Seong; Sun, Yixiao - In: Journal of econometrics 177 (2013) 1, pp. 85-108

Persistent link: https://www.econbiz.de/10010189873

Testing-optimal Kernel choice in HAR inference

Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 219 (2020) 1, pp. 123-136

Persistent link: https://www.econbiz.de/10012483197

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322

Persistent link: https://www.econbiz.de/10011818361

Simple and powerful GMM over-identification tests with accurate size

Sun, Yixiao; Kim, Min Seong - In: Journal of econometrics 166 (2012) 2, pp. 267-281

Persistent link: https://www.econbiz.de/10009511328