Robust trend inference with series variance estimator and testing-optimal smoothing parameter

Journal of Econometrics

Volumn 164, Issue 2, 2011, Pages 345-366

  Sun, Yixiao ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asymptotic expansion; F distribution; Hotelling's T 2 distribution; Long run variance; Robust standard error; Series method; Testing optimal smoothing parameter choice; Trend inference; Type I and type II errors

Indexed keywords

ASYMPTOTIC EXPANSION; F-DISTRIBUTION; HOTELLING'S T; LONG-RUN VARIANCE; ROBUST STANDARD ERROR; SERIES METHODS; SMOOTHING PARAMETER; TREND INFERENCE; TYPE I AND TYPE II ERRORS;

ASYMPTOTIC ANALYSIS; OPTIMIZATION; STANDARDS; TESTING;

ESTIMATION;

EID: 84860390186     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.06.017     Document Type: Article

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