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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

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

Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors

Moreira, Humberto; Moreira, Marcelo J. - 2016 - This version: June 10, 2016

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP) tests with normal errors and a known long-run variance. We...

Persistent link: https://www.econbiz.de/10011485564

A simple and trustworthy asymptotic t test in difference-in-differences regressions

Liu, Cheng; Sun, Yixiao - University of California, San Diego / Department of … - 2019

Persistent link: https://www.econbiz.de/10011987343

A simple and trustworthy asymptotic t test in difference-in-differences regressions

Liu, Cheng; Sun, Yixiao - In: Journal of econometrics 210 (2019) 2, pp. 327-362

Persistent link: https://www.econbiz.de/10012303533

Modified variance ratio test for autocorrelation in the presence of heteroskedasticity

Chand, Sohail; Aftab, Nuzhat - In: The Lahore journal of economics 23 (2018) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011980462

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

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

A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run …

Persistent link: https://www.econbiz.de/10014088395

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

Testing for spatial group-wise heteroskedasticity in spatial autocorrelation regression models : lagrange multiplier scan tests

Le Gallo, Julie; López, Fernando A.; Chasco Yrigoyen, Coro - In: The annals of regional science : an international … 64 (2020) 2, pp. 287-312

Persistent link: https://www.econbiz.de/10012252929

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