Search Results - subject:"Heteroscedasticity and autocorrelation"

Low frequency cointegrating regression with local to unity regressors and unknown form of serial dependence

Hwang, Jungbin; Valdés, Gonzalo - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 160-173

Persistent link: https://www.econbiz.de/10014449847

A simple and trustworthy asymptotic t test in difference-in-differences regressions

Liu, Cheng; Sun, Yixiao - University of California, San Diego / Department of … - 2019

Persistent link: https://www.econbiz.de/10011987343

An asymptotically F-distributed Chow test in the presence of heteroscedasticity and autocorrelation

Sun, Yixiao; Wang, Xuexin - In: Econometric reviews 41 (2022) 2, pp. 177-206

Persistent link: https://www.econbiz.de/10013167603

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

GMM estimation of a realized stochastic volatility model : a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - In: Econometric reviews 37 (2018) 6/10, pp. 719-743

Persistent link: https://www.econbiz.de/10012040406

HAR inference : recommendations for practice

Lazarus, Eben; Lewis, Daniel J.; Stock, James H.; … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 541-559

Persistent link: https://www.econbiz.de/10012249208

GMM estimation of a stochastic volatility model with realized volatility: a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - 2012

Persistent link: https://www.econbiz.de/10009612401

A New Asymptotic Theory for Vector Autoregressive Long-run Variance Estimation and Autocorrelation Robust Testing

Sun, Yixiao; Kaplan, David M. - Department of Economics, University of California-San … - 2011

We develop a new asymptotic theory for autocorrelation robust tests using a vectorÂ autoregressive (VAR) covariance matrix estimator. In contrast to the conventional asymptotics where the VAR order goes to infinity but at a slower rate than the sample size, wehave the VAR order grow at the...

Persistent link: https://www.econbiz.de/10011130686

Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework

Zhang, Xianyang - In: Journal of econometrics 193 (2016) 1, pp. 123-146

Persistent link: https://www.econbiz.de/10011704780

Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

Persistent link: https://www.econbiz.de/10009437793