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Search: subject:"Heteroskedasticity and autocorrelation"
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Subject
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Heteroscedasticity
19
Heteroskedastizität
19
Autocorrelation
17
Autokorrelation
17
Estimation theory
14
Schätztheorie
14
Statistical test
13
Statistischer Test
13
Fixed-smoothing asymptotics
7
Method of moments
7
Momentenmethode
7
Robust statistics
7
Robustes Verfahren
7
Theorie
7
Theory
7
F distribution
6
Heteroskedasticity and Autocorrelation Robust
5
F-distribution
4
Heteroskedasticity and autocorrelation robust
4
Time series analysis
4
Zeitreihenanalyse
4
Asymptotic expansion
3
Correlation
3
Heteroskedasticity and autocorrelation robust inference
3
Heteroskedasticity and autocorrelation robust variance
3
Induktive Statistik
3
Korrelation
3
Statistical inference
3
Two-step GMM
3
coverage ratio
3
fixed-smoothing asymptotics
3
heteroskedasticity and autocorrelation consistent covariance
3
nonlocal asymptotics
3
Cluster robust standard errors
2
Heteroskedasticity and autocorrelation
2
Long-run variance
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Nonparametric estimation
2
Physical Sciences and Mathematics
2
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Free
16
Undetermined
13
CC license
2
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Article
19
Book / Working Paper
12
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Article in journal
14
Aufsatz in Zeitschrift
14
Graue Literatur
8
Non-commercial literature
8
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6
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6
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1
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English
23
Undetermined
8
Author
All
Sun, Yixiao
16
Hwang, Jungbin
4
Kim, Min Seong
4
Yamamoto, Yohei
3
Yang, Jingjing
3
Guo, Gangzheng
2
Martínez-Iriarte, Julián
2
Wang, Shaoping
2
Wang, Xuexin
2
Yoon, Jungmo
2
Baillie, Richard
1
Demetrescu, Matei
1
Diebold, Francis X.
1
Dou, Liyu
1
Enciso, Ángela Jeaneth Ospina
1
Galvao, Antonio Fialho <Jr.>
1
Galvão Júnior, Antônio Fialho
1
Gitto, Lara
1
Kapetanios, George
1
Kim, Kun Ho
1
Kolokotrones, Thomas
1
Kruse-Becher, Robinson
1
Minervini, Leo Fulvio
1
Monaco, Luisa
1
Newey, Whitney
1
Stock, James H.
1
Walker, Christopher D.
1
West, Kenneth D.
1
Xu, Ke-Li
1
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Department of Economics, University of California-San Diego (UCSD)
2
Department of Economics, Ryerson University
1
Graduate School of Economics, Hitotsubashi University
1
University of California, San Diego / Department of Economics
1
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Journal of econometrics
8
Journal of Econometrics
2
Quantitative economics : QE ; journal of the Econometric Society
2
Recent work / Department of Economics, UC San Diego
2
University of California at San Diego, Economics Working Paper Series
2
Working papers / Ryerson University, Department of Economics
2
Applied Econometrics
1
CREATES research paper
1
Discussion Papers / Graduate School of Economics, Hitotsubashi University
1
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic analysis and policy : EAP ; journal of the Economic Society of Australia
1
Quantitative Economics
1
REVISTA FINANZAS Y POLÍTICA ECONÓMICA
1
The econometrics journal
1
Working Papers / Department of Economics, Ryerson University
1
Working papers / Penn Institute for Economic Research
1
Working papers / University of Connecticut, Department of Economics
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ECONIS (ZBW)
22
RePEc
8
EconStor
1
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1
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10
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31
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date (oldest first)
1
Optimal HAR inference
Dou, Liyu
- In:
Quantitative economics : QE ; journal of the …
15
(
2024
)
4
,
pp. 1107-1149
This paper considers the problem of deriving
heteroskedasticity
and
autocorrelation
robust (HAR) inference about a …
Persistent link: https://www.econbiz.de/10015190109
Saved in:
2
On robust inference in time series regression
Baillie, Richard
;
Diebold, Francis X.
;
Kapetanios, George
; …
-
2022
Persistent link: https://www.econbiz.de/10013384711
Saved in:
3
Is Newey-West optimal among first-order kernels?
Kolokotrones, Thomas
;
Stock, James H.
;
Walker, …
- In:
Journal of econometrics
240
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015075094
Saved in:
4
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
5
Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects
Yoon, Jungmo
;
Galvão Júnior, Antônio Fialho
- In:
Quantitative Economics
11
(
2020
)
2
,
pp. 579-608
extension of the
heteroskedasticity
and
autocorrelation
consistent covariance matrix estimator for QR models with fixed effects …
Persistent link: https://www.econbiz.de/10012215426
Saved in:
6
Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects
Yoon, Jungmo
;
Galvao, Antonio Fialho <Jr.>
- In:
Quantitative economics : QE ; journal of the …
11
(
2020
)
2
,
pp. 579-608
extension of the
heteroskedasticity
and
autocorrelation
consistent covariance matrix estimator for QR models with fixed effects …
Persistent link: https://www.econbiz.de/10012213981
Saved in:
7
Asymptotic F tests under possibly weak identi cation
Martínez-Iriarte, Julián
;
Sun, Yixiao
;
Wang, Xuexin
-
University of California, San Diego / Department of …
-
2019
-
This version: March 9, 2019
Persistent link: https://www.econbiz.de/10011987354
Saved in:
8
Testing for moderate explosiveness in the presence of drift
Guo, Gangzheng
;
Wang, Shaoping
;
Sun, Yixiao
-
2018
based on a
heteroskedasticity
and
autocorrelation
robust standard error follows Student's t distribution in large samples …
Persistent link: https://www.econbiz.de/10011914444
Saved in:
9
Simple and trustworthy cluster-robust GMM inference
Hwang, Jungbin
- In:
Journal of econometrics
222
(
2021
)
2
,
pp. 993-1023
Persistent link: https://www.econbiz.de/10012619814
Saved in:
10
Simple and trustworthy cluster-robust GMM inference
Hwang, Jungbin
-
2017
Persistent link: https://www.econbiz.de/10011785481
Saved in:
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