A Heteroskedasticity and Autocorrelation Robust F Test Using an Orthonormal Series Variance Estimator

By Yixiao Sun. 2013

86 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2b8e9a32f6fdd1fb1d021428688c34140415c038

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Statistics and Probability

1. Yixiao Sun
2. Ulrich K. Müller
3. Jungbin Hwang
4. Timothy J. Vogelsang
5. Mark W. Watson
6. Peter C. B. Phillips
7. Pierre Perron
8. Morten Ørregaard Nielsen

Citations in the corpus

• HAC Corrections for Strongly Autocorrelated Time Series (2014, background): “Similar approaches, for potentially different weighted averages, are pursued in Phillips (2005) and Sun (2013).”
• 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 its theoretical development and related simulation evidence, see, for example, Phillips (2005), Müller (2007), Sun (2011, 2013) and Sun and Kim (2015).”