Simple Robust Testing of Regression Hypotheses

By N. Kiefer, Timothy J. Vogelsang, Helle Bunzel. 2000

316 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/739fbc85c5770df3e3907a939e0cf53674b5cf69

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Citations in the corpus

Simple Robust Testing of Hypotheses in Nonlinear Models (2001, unknown): “From (10) and the continuous mapping theorem, it follows that bC D T ƒ1 TX tD1 T ƒ 1 2 bSt T ƒ 1 2 bSt 0 ) å Z 1 0 4Wk4r5 ƒ rWk41554Wk4r5ƒ rWk4155 0drå00 De ne Pk ² R 1 0 4Wk4r5 ƒ rWk41554Wk4r5 ƒ rWk41550dr .”
Testing That a Dependent Process Is Uncorrelated (2001, methodology): “Vogelsang (1998) considered inference for the trend function of a univariate series in the presence of serial correlation of unknown form, and Kiefer, Vogelsang, and Bunzel (2000) extended the analysis to regression models.”
Series estimation under cross-sectional dependence (2013, methodology): “However, the small sample performance of HAC estimation can be poor and an alternative studentization that can produce more accurately sized tests was suggested by Kiefer et al. (2000) in a time series setting.”
HETEROSKEDASTICITY-AUTOCORRELATION ROBUST STANDARD ERRORS USING THE BARTLETT KERNEL WITHOUT TRUNCATION (2002, methodology): “It follows from (2) and Theorem 1 of Kiefer et al. (2000) that under Assumption 1 as T →∞, F ∗ ⇒Wq(1)0 · 2 Z 1 0 Bq(r)Bq(r) 0dr ¸−1 Wq(1)/q, t ∗ ⇒W1(1)/ s 2 Z 1 0 B1(r)2dr. Critical values for the asymptotic distribution of t∗ have been obtained analytically by Abadir and Paruolo (1997) and are…”
Bootstrap Tests for Regression Models (2009, methodology): “Third, a test of the type proposed by Koenker (1981) is applied to detect heteroskedasticity.”
A self‐normalized approach to confidence interval construction in time series (2010, background): “Also see Kiefer et al. (2000) for a similar finding in the context of robust testing for linear regression models with auto-correlated errors.”
Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks (2009, unknown): “In time series, Kiefer, Vogelsang, and Bunzel (2000) have used feasible inconsistent estimates of the variance of asymptotically normal estimators.”
t-Statistic Based Correlation and Heterogeneity Robust Inference (2010, methodology): “The small sample experiment is the one considered in Andrews (1991), Andrews and Monahan (1992), and Kiefer, Vogelsang, and Bunzel (2000) and concerns inference in a linear regression with 5 regressors.”
Low-Frequency Econometrics (2015, background): “Motivated by these poor finitesample properties, a burgeoning 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,…”