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A new asymptotic theory for heteroskedasticity-autocorrelation robust tests

Kiefer, Nicholas Maximilian (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003148418

A new asymptotic theory for heteroskedasticity : autocorrelation robust tests

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 21 (2005) 6, pp. 1130-1164

Persistent link: https://www.econbiz.de/10003193574

Heteroskedasticity-autocorrelation robust standard errors using the Bartlett Kernel without truncation

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2093-2095

Persistent link: https://www.econbiz.de/10001702262

Simple robust testing of regression hypothesis: a comment

Abadir, Karim Maher; Paruolo, Paolo - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 2097-2099

Persistent link: https://www.econbiz.de/10001702266

Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - In: Econometric theory 18 (2002) 6, pp. 1350-1366

Persistent link: https://www.econbiz.de/10001716907

A new approach to the asymptotics of HAC robust testing in econometrics

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J. - 2000

Persistent link: https://www.econbiz.de/10001458269

Simple robust testing of regression hypothesis

Kiefer, Nicholas Maximilian; Vogelsang, Timothy J.; … - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 3, pp. 695-714

Persistent link: https://www.econbiz.de/10001476522

Simple robust testing of hypotheses in non-linear models

Bunzel, Helle; Kiefer, Nicholas M.; Vogelsang, Timothy J. - 1999

Persistent link: https://www.econbiz.de/10001363389

A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

Kiefer, Nicholas M.; Vogelsang, Timothy J. - In: Econometric Theory 21 (2005) 06, pp. 1130-1164

Persistent link: https://www.econbiz.de/10005250145

A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests

Kiefer, Nicholas M.; Vogelsang, Timothy J. - Center for Analytic Economics, Department of Economics - 2005

A new first order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a fixed proportion of the sample size. This leads to a distribution...

Persistent link: https://www.econbiz.de/10005350239