A theory of robust long-run variance estimation

By Ulrich K. Müller. 2007

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/fbdd87c08789eb4762e267226da28c4dacbf405f

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Citations in the corpus

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).”
Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter (2011, methodology): “For some basis functions, the working paper version of Müller (2007) contains the xed-K asymptotics and F approximation.”
The asymptotic size and power of the augmented Dickey–Fuller test for a unit root (2018, background): “In addition, Müller (2005, 2007) considered strongly autocorrelated time series and studied size and power properties of unit root tests in a local-to-unity asymptotic framework.”
Nonparametric stochastic discount factor decomposition (2014, background): “Bakshi and Chabi-Yo (2012, 2014) refine the bounds of Alvarez and Jermann (2005) and derive revealing bounds for the entropy of the square of the permanent component of the SDF.”
t-Statistic Based Correlation and Heterogeneity Robust Inference (2010, background): “Müller (2007) shows that all consistent long-run variance estimators lack robustness in a certain sense, and determines a class of inconsistent longrun variance estimators with some optimal trade-off between robustness and efficiency.”
Testing Models of Low‐Frequency Variability (2006, unknown): “More interestingly, a recent literature has pointed out that (non-degenerate) regime switching models and fractional models are similar along many dimensions–see, for example, Parke (1999), Diebold and Inoue (2001), and Davidson and Sibbertsen (2005).”
BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER (2020, methodology): “…the use of finite series representations in terms of deterministic functions for empirical trend modeling and low frequency projection methods in the work of Hwang and Sun (2018), Phillips (2001b, 2005a, 2005b, 2014), Müller (2007), Müller and Watson, 2018), Sun (2014), Yamada (2020) and others.”
Low-Frequency Econometrics (2015, methodology): “Here we use a simpler argument from Müller and Watson (2008) that relies on the assumption that suitably scaled partial sums of  behave like a Gaussian process in large samples.”