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Partielle und simultane Prüfung auf Autokorrelation und Heteroskedastizität der Störvariablen im linearen Regressionsmodell
Bährens, Henning - 1992
Persistent link: https://www.econbiz.de/10013357762
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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity
Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36
, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … descriptive statistics, autocorrelation function (ACF) and Ljung-Box Q (LB-Q) statistics, as well as the autoregressive … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …
Persistent link: https://www.econbiz.de/10011862130
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Testing for a shift in trend at an unknown date : a fixed-B analysis of heteroskedasticity autocorrelation robust OLS-based tests
Sayginsoy, Özgen; Vogelsang, Timothy J. - In: Econometric theory 27 (2011) 5, pp. 992-1025
Persistent link: https://www.econbiz.de/10009379760
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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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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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A robust test for weak instruments
Olea, José Luis Montiel; Pflueger, Carolin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 358-369
Persistent link: https://www.econbiz.de/10009785968
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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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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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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