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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation … heteroskedasticity in the series. Related extensions are provided for testing cross-correlation at various lags in bivariate time series … spurious evidence of serial correlation. …
Persistent link: https://www.econbiz.de/10012243279
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2019
Persistent link: https://www.econbiz.de/10012062428
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Robust inference on correlation under general heterogeneity
Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - 2022
Persistent link: https://www.econbiz.de/10014235297
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Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - 2010
Persistent link: https://www.econbiz.de/10003925716
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Prewhitening bias in HAC estimation
Sul, Donggyu; Phillips, Peter C. B.; Choi, Chi-young - In: Oxford bulletin of economics and statistics 67 (2005) 4, pp. 517-546
Persistent link: https://www.econbiz.de/10003020807
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Prewhitening bias in HAC estimation
Sul, Donggyu; Phillips, Peter C. B.; Choi, Chi-young - 2003
Persistent link: https://www.econbiz.de/10001798686
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Prewhitening bias in HAC estimation
Sul, Donggyu; Phillips, Peter C. B.; Choi, Chi-young - 2003
Persistent link: https://www.econbiz.de/10001873297
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Testing Mean Stability of Heteroskedastic Time Series
Dalla, Violetta - 2015
Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...
Persistent link: https://www.econbiz.de/10013020466
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Continuously updated indirect inference in heteroskedastic spatial models
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca - In: Econometric theory 39 (2023) 1, pp. 107-145
Persistent link: https://www.econbiz.de/10014247296
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Continuously Updated Indirect Inference in Heteroskedastic Spatial Models
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca - 2019
Spatial units typically vary over many of their characteristics, introducing potential unobserved heterogeneity which invalidates commonly used homoskedasticity conditions. In the presence of unobserved heteroskedasticity, standard methods based on the (quasi-)likelihood function generally...
Persistent link: https://www.econbiz.de/10014032510