Search Results - subject:"Testing-optimal smoothing-parameter choice"

Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference

Sun, Yixiao - Department of Economics, University of California-San … - 2013

In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter estimator is often estimated using a nonparametric kernel method that involves a lag truncation parameter. Depending on whether this lag truncation parameter is specified to grow at...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010817541

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011818361

Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of Econometrics 178 (2014) P3, pp. 659-677

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010730135

Let’s fix it : fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - In: Journal of econometrics 178 (2014) 1, pp. 659-677

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010257366