Search Results - subject:"HAC estimator"

High-dimensional granger causality tests with an application to VIX and news

Babii, Andrii; Ghysels, Eric; Striaukas, Jonas - In: Journal of financial econometrics 22 (2024) 3, pp. 605-635

Persistent link: https://www.econbiz.de/10015045166

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - 2021

Persistent link: https://www.econbiz.de/10012593573

On bootstrapping tests of equal forecast accuracy for nested models

Doko Tchatoka, Firmin; Haque, Qazi - 2020

Persistent link: https://www.econbiz.de/10012208767

On bootstrapping tests of equal forecast accuracy for nested models

Doko Tchatoka, Firmin; Haque, Qazi - 2020

Persistent link: https://www.econbiz.de/10012225075

On bootstrapping tests of equal forecast accuracy for nested models

Doko Tchatoka, Firmin; Haque, Qazi - 2020

Persistent link: https://www.econbiz.de/10012426266

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10013539471

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-Keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics 5 (2017) 1, pp. 1-26

This paper addresses tests for structural change in a weakly dependent time series regression. The cases of full structural change and partial structural change are considered. Heteroskedasticity-autocorrelation (HAC) robust Wald tests based on nonparametric covariance matrix estimators are...

Persistent link: https://www.econbiz.de/10011755355

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011653607

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

Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators

Yang, Jingjing; Vogelsang, Timothy J. - In: Economics letters 165 (2018), pp. 21-27

Persistent link: https://www.econbiz.de/10011973806