Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
Year of publication: |
2014
|
---|---|
Authors: | Sun, Yixiao |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 178.2014, P3, p. 659-677
|
Publisher: |
Elsevier |
Subject: | Asymptotic expansion | F-distribution | Heteroskedasticity and autocorrelation robust | Long-run variance | Robust standard error | Testing-optimal smoothing parameter choice | Type I and type II errors |
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