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A convergent t-statistic in spurious regressions

Sun, Yixiao - 2003

Persistent link: https://www.econbiz.de/10001753294

A convergent t-statistic in spurious regressions

Sun, Yixiao - In: Econometric theory 20 (2004) 5, pp. 943-962

Persistent link: https://www.econbiz.de/10002265261

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

Let s fix it : fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference

Sun, Yixiao - 2012

Persistent link: https://www.econbiz.de/10010209966

A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator

Sun, Yixiao - In: The econometrics journal 16 (2013) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10009722516

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

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

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