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Finite-sample corrected inference for two-step GMM in time series
Hwang, Jungbin; Valdés, Gonzalo - In: Journal of econometrics 234 (2023) 1, pp. 327-352
Persistent link: https://www.econbiz.de/10014364895
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GMM estimation of spatial autoregressive models with unknown heteroskedasticity
Lin, Xu; Lee, Lung-fei - In: Journal of econometrics 157 (2010) 1, pp. 34-52
Persistent link: https://www.econbiz.de/10008661869
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Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
Vogelsang, Timothy J. - In: Journal of econometrics 166 (2012) 2, pp. 303-319
Persistent link: https://www.econbiz.de/10009511326
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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://www.econbiz.de/10010257366
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Asymptotic properties of a robust variance matrix estimator for panel data when T is large
Hansen, Christian Bailey - In: Journal of econometrics 141 (2007) 2, pp. 597-620
Persistent link: https://www.econbiz.de/10003571330
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A theory of robust long-run variance estimation
Müller, Ulrich K. - In: Journal of econometrics 141 (2007) 2, pp. 1331-1352
Persistent link: https://www.econbiz.de/10003571463
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Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - In: Journal of econometrics 130 (2006) 1, pp. 123-142
Persistent link: https://www.econbiz.de/10003228631
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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://www.econbiz.de/10011818361
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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
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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