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Finite-sample corrected inference for two-step GMM in time series

Hwang, Jungbin; Valdés, Gonzalo - In: Journal of econometrics 234 (2023) 1, pp. 327-352

Persistent link: https://www.econbiz.de/10014364895

A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing

Sun, Yixiao; Kaplan, David - 2010

In this paper, we develop a new asymptotic theory of the long run variance estimator obtained by fitting a vector … statistic and t-statistic remain asymptotically pivotal. On the basis of the new asymptotic theory, we introduce a new and easy …

Persistent link: https://www.econbiz.de/10014188745

Testing for Autocorrelation and Unit Roots in the Presence of Conditional Heteroskedasticity of Unknown Form

Guo, Binbin; Phillips, Peter C. B. - 2003

new autocorrelation tests (called g- and gl- tests), and derives an asymptotic theory for the new statistics. The g test …The presence of conditional heteroskedasticity invalidates standard autocorrelation tests such as the Durbin …

Persistent link: https://www.econbiz.de/10014087060

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run … limit theory for untruncated kernels is provided using a new proof based on Mercer's theorem that allows for kernels which …

Persistent link: https://www.econbiz.de/10014088395

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...

Persistent link: https://www.econbiz.de/10011334362