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A fixed-bandwith view of the pre-asymptotic inference for Kernel smooting with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - 2015

Persistent link: https://www.econbiz.de/10011378410

Asymptotic F-test in a GMM framework with cross-sectional dependence

Sun, Yixiao; Kim, Min Seong - In: The review of economics and statistics 97 (2015) 1, pp. 210-223

Persistent link: https://www.econbiz.de/10011327586

Smoothed estimating equations for instrumental variables quantile regression

Kaplan, David M.; Sun, Yixiao - 2013

Persistent link: https://www.econbiz.de/10010200423

Sieve inference on possibly misspecified semi-nonparametric time series models

Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 639-658

Persistent link: https://www.econbiz.de/10010257367

Simple, robust, and accurate F and t tests in cointegrated systems

Hwang, Jungbin; Sun, Yixiao - 2016 - This version: December 31, 2015

This paper proposes new, simple, and more accurate statistical tests in a cointegrated system that allows for endogenous regressors and serially dependent errors. The approach involves first transforming the time series using some orthonormal basis functions in L2[0,1], which has energy...

Persistent link: https://www.econbiz.de/10011441958