BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP

By Sílvia Gonçalves, Timothy J. Vogelsang. Econometric Theory, 2011

77 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b57fde3256ef5c9234b81446461762ef88019ac0

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Citations in the corpus

FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS (2014, methodology): “As shown by Gonçalves and Vogelsang (2006) in a time series regression setting, the i.”
Wild Bootstrap and Asymptotic Inference With Multiway Clustering (2019, methodology): “Restricted studentized bootstrap confidence intervals that usually have better finite-sample properties can be obtained by inverting equal-tail bootstrap tests based on WR or WCR, as discussed in Hansen (1999) and MacKinnon (2015).”
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix (2011, methodology): “In the time series case, dn = E`n: Substituting this relationship into Theorem 1, we obtain the same results as given in Parzen (1957), Hannan (1970) and Andrews (1991).”
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): “…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 (2013), and Vogelsang (2012) in the panel data setting.”
Low-Frequency Econometrics (2015, background): “…(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 (2014) for a recent survey), and estimators constructed from the cosine transforms as suggested by Müller…”
A self‐normalized approach to confidence interval construction in time series (2010, methodology): “In light of the findings in Goncalves and Vogelsang (2008) in the testing context, we shall incorporate the block bootstrap method in our simulation studies.”