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A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10009722516
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Let's Fix it : Fixed-b Asymptotics Versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference
Sun, Yixiao - 2010
In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter …
Persistent link: https://www.econbiz.de/10014188747
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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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Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1368
Persistent link: https://www.econbiz.de/10009489710
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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
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A convergent t-statistic in spurious regressions
Sun, Yixiao - In: Econometric theory 20 (2004) 5, pp. 943-962
Persistent link: https://www.econbiz.de/10002265261
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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation
Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainin - 2003
Persistent link: https://www.econbiz.de/10001741372
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A convergent t-statistic in spurious regressions
Sun, Yixiao - 2003
Persistent link: https://www.econbiz.de/10001753294
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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation
Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003
Persistent link: https://www.econbiz.de/10001753309
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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