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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
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A new asymptotic theory for vector autoregressive long-run variance estimation and autocorrelation robust testing
Sun, Yixiao; Kaplan, David M. - 2011
Persistent link: https://www.econbiz.de/10010205503
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Let s fix it : fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
Sun, Yixiao - 2012
Persistent link: https://www.econbiz.de/10010209966
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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
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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 …
Persistent link: https://www.econbiz.de/10012243279
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A simple and trustworthy asymptotic t test in difference-in-differences regressions
Liu, Cheng; Sun, Yixiao - In: Journal of econometrics 210 (2019) 2, pp. 327-362
Persistent link: https://www.econbiz.de/10012303533