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Simple, robust, and accurate F and t tests in cointegrated systems

Hwang, Jungbin; Sun, Yixiao - In: Econometric theory 34 (2018) 5, pp. 949-984

Persistent link: https://www.econbiz.de/10011951445

Asymptotic F and t tests in an efficient GMM setting

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 198 (2017) 2, pp. 277-295

Persistent link: https://www.econbiz.de/10011818796

Should we go one step further? : an accurate comparison of one-step and two-step procedures in a generalized method of moments framework

Hwang, Jungbin; Sun, Yixiao - In: Journal of econometrics 207 (2018) 2, pp. 381-405

Persistent link: https://www.econbiz.de/10012116364

Comment [on "HAR inference: recommendations for practice"]

Sun, Yixiao - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 565-568

Persistent link: https://www.econbiz.de/10012249378

Some extensions of asymptotic F and t theory in nonstationary regressions

Sun, Yixiao - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 319-347). 2023

The author develops and extends the asymptotic F - and t -test theory in linear regression models where the regressors could be deterministic trends, unit-root processes, near-unit-root processes, among others. The author considers both the exogenous case where the regressors and the regression...

Persistent link: https://www.econbiz.de/10014313748