Search Results - subject:"testing-optimal"

Heteroscedasticity and autocorrelation robust F and t tests in stata

Ye, Xiaoqing; Sun, Yixiao - 2018

Persistent link: https://www.econbiz.de/10011914436

Testing-optimal Kernel choice in HAR inference

Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 219 (2020) 1, pp. 123-136

Persistent link: https://www.econbiz.de/10012483197

A fixed-bandwith view of the pre-asymptotic inference for Kernel smooting with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - 2015

Persistent link: https://www.econbiz.de/10011378410

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

testing-optimal in that the bandwidth minimizes the type II error of the asymptotic F test while controlling for its type I … error. Monte Carlo simulations show that the asymptotic F test with the testing-optimal bandwidth works very well in finite …

Persistent link: https://www.econbiz.de/10010817541

Improved Quantile Inference Via Fixed-Smoothing Asymptotics And Edgeworth Expansion

Kaplan, David M. - Economics Department, University of Missouri - 2013

Estimation of a sample quantile's variance requires estimation of the probability density at the quantile. The common quantile spacing method involves smoothing parameter m. When m, n â†’ âˆž , the corresponding Studentized test statistic asymptotically follows a standard normal...

Persistent link: https://www.econbiz.de/10010932942