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Inference for local autocorrelations in locally stationary models

Zhao, Zhibiao - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 296-306

Persistent link: https://www.econbiz.de/10011390046

Nonparametric Inference of Jump Autocorrelation

Kwok, Simon - 2020

this paper, we introduce a nonparametric inference procedure for the presence of jump autocorrelation in the DGP. Our … toolkit includes (i) an omnibus test that jointly detect the autocorrelation of stationary jumps over all lags, and (ii) a … jump autocorrelogram that enables visualization and pointwise inference of jump autocorrelation. We establish asymptotic …

Persistent link: https://www.econbiz.de/10012824843

Unit root quantile autoregression inference

Koenker, Roger; Xiao, Zhijie - In: Journal of the American Statistical Association : JASA 99 (2004) 467, pp. 775-787

Persistent link: https://www.econbiz.de/10002242185

The Uniform Validity of Impulse Response Inference in Autoregressions

Inoue, Atsushi - 2019

Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...

Persistent link: https://www.econbiz.de/10012893091

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