Search Results - subject:"HAC standard errors"

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

Casini, Alessandro - 2022

Persistent link: https://www.econbiz.de/10013255861

The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity

Casini, Alessandro - In: Journal of econometrics 238 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015073915

Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings

Belotti, Federico; Casini, Alessandro; Catania, Leopoldo; … - In: Econometric reviews 42 (2023) 3, pp. 281-306

Persistent link: https://www.econbiz.de/10014305507

Enhanced routines for instrumental variables/generalized method of moments estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - In: Stata Journal 7 (2007) 4, pp. 465-506

We extend our 2003 paper on instrumental variables and generalized method of moments estimation, and we test and describe enhanced routines that address heteroskedasticity- and autocorrelation-consistent standard errors, weak instruments, limited-information maximum likelihood and k-class...

Persistent link: https://www.econbiz.de/10005568801

Enhanced routines for instrumental variables/GMM estimation and testing

Baum, Christopher; Schaffer, Mark; Stillman, Steven - Centre for Economic Reform and Transformation, School … - 2007

that address HAC standard errors, weak instruments, LIML and k-class estimation, tests for endogeneity and RESET and …

Persistent link: https://www.econbiz.de/10005292582