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Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of Econometrics 178 (2014) P3, pp. 659-677

In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter …

Persistent link: https://www.econbiz.de/10010730135

Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference

Sun, Yixiao - Department of Economics, University of California-San … - 2013

In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter …

Persistent link: https://www.econbiz.de/10010817541

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

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

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