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LAD asymptotics under conditional heteroskedasticity with possibly infinite error densities
Cho, Jin Seo; Han, Chirok; Phillips, Peter C. B. - 2009
Persistent link: https://www.econbiz.de/10003842080
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Adaptive testing in ARCH models
Linton, Oliver; Steigerwald, Douglas G. - 1995
Persistent link: https://www.econbiz.de/10000585298
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Prewhitening bias in HAC estimation
Sul, Donggyu; Phillips, Peter C. B.; Choi, Chi-young - 2003
Persistent link: https://www.econbiz.de/10001798686
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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation
Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainin - 2003
Persistent link: https://www.econbiz.de/10001741372
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HAC estimation by automative regression
Phillips, Peter C. B. - 2004
Persistent link: https://www.econbiz.de/10002148138
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Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - 2010
Persistent link: https://www.econbiz.de/10003925716
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Testing mean stability of heteroskedastic time series
Dalla, Violetta; Giratis, Liudas; Phillips, Peter C. B. - 2015
Persistent link: https://www.econbiz.de/10011312317
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Continuously updated indirect inference in heteroskedastic spatial models
Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca - 2019
Persistent link: https://www.econbiz.de/10012131981
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Nonlinear cointegrating power function regression with endogeneity
Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying - 2019
Persistent link: https://www.econbiz.de/10012132062
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Robust inference on correlation under general heterogeneity
Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B. - 2022
Persistent link: https://www.econbiz.de/10014235297