A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

By N. Kiefer, Timothy J. Vogelsang. Econometric Theory, 2005

434 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/b9861a9bbbfea78308bce2f02af27d0bd5ce075a

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Citations in the corpus

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, background): “7The fixed-b asymptotic 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) among others.”
An Evaluation of the World Economic Outlook Forecasts (2006, background): “…used here is very small, and finite-sample distortions of standard test-statistics that correct for heteroskedasticity and autocorrelation in the regression residuals are well known (see, for example, Den Haan and Levin, 1997; Kiefer, Vogelsang, and Bunzel, 2000; and Kiefer and Vogelsang, 2005).”
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 →∞.”
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix (2011, methodology): “Under the xed-b speci cation, the bandwidth is set proportional to the sample size and the associated test statistic converges to a non-standard limiting distribution (e.g. Kiefer and Vogelsang (2002, 2005)).”
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS (2014, methodology): “This argument is identical to Kiefer and Vogelsang (2005) except that the convergence is to functionals involving set-indexed Brownian processes rather than Brownian motion.”
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP (2011, methodology): “Following Kiefer and Vogelsang (2005), we can write ̂ = 2b−1T −2 T −1 ∑ t=1 Ŝ2t −2b−1T −2 T −[bT ]−1 ∑ t=1 Ŝt Ŝt+[bT ], where Ŝt = ∑ti=1 ûi and Ŝt = St − ( t T ) ST , with St = ∑ti=1 ui .”
Using Mean Reversion as a Measure of Persistence (2005, methodology): “In a recent paper, Kiefer and Vogelsang (2002), denoted as KV(2002) hereafter, proposed an alternative approach to make inference on the parameters of a model, when the residuals are serially correlated.”
Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroskedasticity and Autocorrelation Robust Inference (2010, methodology): “where ̂T is the same estimator as in FT;OLS given by (13).”
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.”
Asymptotic properties of a robust variance matrix estimator for panel data when T is large (2007, methodology): “This allows construction of asymptotically pivotal statistics based on standard t and Wald tests as in Phillips et al. (2003), Kiefer and Vogelsang (2002, 2005), and Vogelsang (2003).”