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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

Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation

Sun, Yixiao - 2014

Persistent link: https://www.econbiz.de/10010370905

Fixed-smoothing asymptotics and asymptotic F and t tests in the presence of strong autocorrelation

Sun, Yixiao - In: Essays in honor of Peter C. B. Phillips, (pp. 23-63). 2014

Persistent link: https://www.econbiz.de/10010442880

Spurious regressions between stationary generalized long memory processes

Sun, Yixiao - In: Economics letters 90 (2006) 3, pp. 446-454

Persistent link: https://www.econbiz.de/10003295343

Estimation of the long-run average relationship in nonstationary panel time series

Sun, Yixiao - In: Econometric theory 20 (2004) 6, pp. 1227-1260

Persistent link: https://www.econbiz.de/10002424947

Comment [on "HAR inference: recommendations for practice"]

Sun, Yixiao - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 565-568

Persistent link: https://www.econbiz.de/10012249378

Some extensions of asymptotic F and t theory in nonstationary regressions

Sun, Yixiao - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 319-347). 2023

The author develops and extends the asymptotic F - and t -test theory in linear regression models where the regressors could be deterministic trends, unit-root processes, near-unit-root processes, among others. The author considers both the exogenous case where the regressors and the regression...

Persistent link: https://www.econbiz.de/10014313748

Local polynomial whittle estimation of long-range dependence

Andrews, Donald W. K.; Sun, Yixiao - 2001

Persistent link: https://www.econbiz.de/10001562618

Nonlinear log-periodogram regression for perturbed fractional processes

Sun, Yixiao; Phillips, Peter C. B. - In: Journal of econometrics 115 (2003) 2, pp. 355-389

Persistent link: https://www.econbiz.de/10001768328

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