The Error in Rejection Probability of Simple Autocorrelation Robust Tests

By Michael Jansson. 2004

131 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/08030ea42a5329a7b9b987b765b9df83ace400f1

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Citations in the corpus

Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroskedasticity and Autocorrelation Robust Inference (2010, unknown): “Jansson (2004) and Sun, Phillips, Jin (2008, hereafter SPJ) provide theoretical analyses for location models.”
Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (2018, background): “For other studies, see, for example, Jansson (2004), Sun, Phillips and Jin (2008), Sun and Phillips (2009), Gonçlaves and Vogelsang (2011), and Zhang and Shao (2013) in the time series setting; Bester, Conley, Hansen and Vogelsang (2014) in the spatial setting; and Gonçalves (2011), Kim and Sun…”
A self‐normalized approach to confidence interval construction in time series (2010, unknown): “For the Gaussian location model, Jansson (2004) showed that sup x∈R ∣∣∣∣∣P { n.X̄n −θ/2 Wn x } −P.U1 x/ ∣∣∣∣∣=O{n−1 log.n/}, .5/ which was further refined by Sun et al. (2008) under the fixed b asymptotic framework by dropping the log.n/ term.”
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP (2011, background): “Jansson (2004) has established that (the bound on) the error of the fixed-b asymptotic approximation is O ( log T T ) for the case of the Bartlett kernel with b = 1.”
Realized Variance and Market Microstructure Noise (2006, methodology): “This property is common for estimators of the long-run variance in the time-serie literature, wheneverqm/m does not converge to zero sufficiently fast, see e.g., Kiefer, Vogelsang & Bunzel (2000) and Jansson (2004).”
Inference with dependent data using cluster covariance estimators (2011, background): “Jansson (2004) and Sun, Phillips, and Jin (2008) show formally that the 'fixed-b' approximation is a refinement of the standard asymptotic approximation in Gaussian location models.”
Nonparametric stochastic discount factor decomposition (2014, background): “nt kernel-based truncated-lag estimators can suer size and power distortions in nite samples, and has proposed xed-bandwidth asymptotics as a remedy (see, e.g., Kiefer, Vogelsang, and Bunzel (2000); Jansson (2004); Muller (2007)). 11 To simplify notation, let ˚ t:= ˚(X t), let m t;t+1 := m(X t;X t+1”
Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter (2011, background): “Jansson (2004) and Sun, Phillips and Jin (2008, SPJ hereafter) provide some theoretical justi cations for the non-standard asymptotic theory.”
A theory of robust long-run variance estimation (2007, background): “We measure the extent of the difference by two norms on the vector space of T T matrices: on the one hand kAkD ¼ maxi;jjai;jj and on the other hand kAk2, the square root of the largest eigenvalue of A0A.”
t-Statistic Based Correlation and Heterogeneity Robust Inference (2010, background): “KEY WORDS: Dependence; Fama–MacBeth method; Least favorable distribution; t-test; Variance estimation.”
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ (2005, methodology): “This development, like that of Jansson (2004), relies on Gaussianity, which facilitates the derivations.”
Low-Frequency Econometrics (2015, background): “…literature studies inconsistent long-run variance estimators (see Kiefer, Vogelsang, and Bunzel (2000) and Kiefer and Vogelsang (2002, 2005), Jansson (2004), Phillips (2005), Sun, Phillips, and Jin (2008), Phillips, Sun and Jin (2006, 2007) and Gonçalves and Vogelsang (2011), and Müller…”
The reduced form: A simple approach to inference with weak instruments (2008, methodology): “Jansson (2004) shows that this approach often leads to more accurate inference than conventional approaches to inference that rely on consistency of HAC estimators.”
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS (2014, background): “Jansson (2004) and Sun, Phillips, and Jin (2008) also provide theoretical evidence that the fixed-b approximation outperforms the standard approximation in Gaussian location models.”