Similar Search Results - EconBiz

Long run variance estimation using steep origin kernels without truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

Persistent link: https://www.econbiz.de/10001794759

Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

Persistent link: https://www.econbiz.de/10001753309

Improved HAR inference using power kernels without truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2005

Persistent link: https://www.econbiz.de/10002969563

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Sun, Yixiao - 2010

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...

Persistent link: https://www.econbiz.de/10013148975

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

Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels

Sun, Yixiao; Phillips, Peter C. B.; Jin, Sainan - In: Econometric theory 27 (2011) 6, pp. 1320-1368

Persistent link: https://www.econbiz.de/10009489710

Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - In: International economic review 47 (2006) 3, pp. 837-894

Persistent link: https://www.econbiz.de/10003357487

A new approach to robust inference in cointegration

Jin, Sainan; Phillips, Peter C. B.; Sun, Yixiao - In: Economics letters 91 (2006) 2, pp. 300-306

Persistent link: https://www.econbiz.de/10003327908

Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation

Phillips, Peter C. B. (contributor); Sun, Yixiao (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761525

Optimal bandwidth selection in heteroskedasticity-autocorrelation robust testing

Sun, Yixiao (contributor); Phillips, Peter C. B. (contributor) - 2005

Persistent link: https://www.econbiz.de/10003761924

A service of the