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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

A test for kronecker product structure covariance matrix

Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, … - 2022

Persistent link: https://www.econbiz.de/10012814351

Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

Kim, Min Seong; Sun, Yixiao - In: Journal of econometrics 177 (2013) 1, pp. 85-108

Persistent link: https://www.econbiz.de/10010189873

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

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

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

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

Inference on Difference-in-Differences average treatment effects : a fixed-b approach

Sun, Yu; Yan, Karen X. - In: Journal of econometrics 211 (2019) 2, pp. 560-588

Persistent link: https://www.econbiz.de/10012303843

Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models

Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020

We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...

Persistent link: https://www.econbiz.de/10012305035

Modified variance ratio test for autocorrelation in the presence of heteroskedasticity

Chand, Sohail; Aftab, Nuzhat - In: The Lahore journal of economics 23 (2018) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011980462