HETEROSKEDASTICITY-AUTOCORRELATION ROBUST STANDARD ERRORS USING THE BARTLETT KERNEL WITHOUT TRUNCATION

By N. Kiefer, Timothy J. Vogelsang. 2002

279 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6cd72e47485488c2bf600a6f8259c8a5356bd08f

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In Economics and Econometrics

Citations in the corpus

Testing Dependence Among Serially Correlated Multicategory Variables (2009, unknown): “The appendix contains a proof of the following proposition which shows that the trace test based on the reduced rank regression ( 18 ) is in fact identical to the familiar contingency table χ2−test:”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, unknown): “oving the power of the Mtest, by dividing the original sample into subsamples before applying the self-normalization procedure. 7The ﬁxed-basymptotic has been further studied by Bunzel et al. (2001), Kiefer and Vogelsang (2002, 2005), Sun et al. (2008), Kim and Sun (2011) and Sun and Kim (2012) amon”
Randomization Tests Under an Approximate Symmetry Assumption (2017, background): “Bester et al. (2011) and Ibragimov and Müller (2010) also find that their tests outperform the test proposed by Kiefer and Vogelsang (2002, 2005), in which the 1 − α2 quantile of the N(0, 1) distribution is replaced with an alternative critical value that does not require q →∞.”
Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter (2011, methodology): “The xed-K asymptotics is in the spirit of the xed-b asymptotics as in Kiefer and Vogelsang (2002a, 2002b, 2005).”
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS (2005, methodology): “Important contributions to the development of these techniques include White (1984), Newey and West (1987), Gallant (1987), Gallant and White (1988), Andrews (1991), Andrews and Monahan (1992), Hansen (1992), Robinson (1998) and de Jong and Davidson (2000).”
HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES (2005, background): “(8)—might not provide accurate approximations, and the so-called “fixed-b” asymptotics of Kiefer and Vogelsang (2002, 2005), and higher-order expansions of Hashimzade and Vogelsang (2008) are a valuable alternative.”
Measurement Error in Linear Autoregressive Models (2005, background): “Under general conditions, a Q̂ with T instead of M in the foregoing would converge to a random variable that is proportional to Q, not equal to Q in probability as T → ∞ (see, e.g., Bunzel, Kiefer, and Vogelsang 2001; Kiefer and Vogelsang 2002).”