-
1
-
-
0001758906
-
Heteroskedasticity and autocorrelation consistent covariance matrix estimation
-
Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
-
(1991)
Econometrica
, vol.59
, pp. 817-858
-
-
Andrews, D.W.K.1
-
2
-
-
0001643055
-
Consistent autoregressive spectral estimates
-
Berk, K.N. (1974) Consistent autoregressive spectral estimates. Annals of Statistics 2, 489-502.
-
(1974)
Annals of Statistics
, vol.2
, pp. 489-502
-
-
Berk, K.N.1
-
3
-
-
74049089683
-
Heteroskedastic time series with a unit root
-
Cavaliere, G. & A.M.R. Taylor (2009) Heteroskedastic time series with a unit root. Econometric Theory 25, 1228-1276.
-
(2009)
Econometric Theory
, vol.25
, pp. 1228-1276
-
-
Cavaliere, G.1
Taylor, A.M.R.2
-
4
-
-
79952222960
-
Block bootstrap HAC robust tests: The sophistication of the naive bootstrap
-
Gonçalves, S. & T.J. Vogelsang (2011) Block bootstrap HAC robust tests: The sophistication of the naive bootstrap. Econometric Theory 27, 745-791.
-
(2011)
Econometric Theory
, vol.27
, pp. 745-791
-
-
Gonçalves, S.1
Vogelsang, T.J.2
-
5
-
-
36849072691
-
Fixed-b asymptotic approximation of the sampling behavior of nonparametric spectral density estimators
-
Hashimzade, N. & T.J. Vogelsang (2008) Fixed-b asymptotic approximation of the sampling behavior of nonparametric spectral density estimators. Journal of Time Series Analysis 29, 142-162.
-
(2008)
Journal of Time Series Analysis
, vol.29
, pp. 142-162
-
-
Hashimzade, N.1
Vogelsang, T.J.2
-
6
-
-
0036971953
-
Consistent covariance matrix estimation for linear processes
-
Jansson, M. (2002) Consistent covariance matrix estimation for linear processes. Econometric Theory 18, 1449-1459.
-
(2002)
Econometric Theory
, vol.18
, pp. 1449-1459
-
-
Jansson, M.1
-
7
-
-
25644437026
-
A new asymptotic theory for heteroskedasticity-autocorrelation robust tests
-
Kiefer, N.M. & T.J. Vogelsang (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory 21, 1130-1164.
-
(2005)
Econometric Theory
, vol.21
, pp. 1130-1164
-
-
Kiefer, N.M.1
Vogelsang, T.J.2
-
8
-
-
84963002108
-
Automatic lag selection in covariance matrix estimation
-
Newey, W. & K. West (1994) Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631-653.
-
(1994)
Review of Economic Studies
, vol.61
, pp. 631-653
-
-
Newey, W.1
West, K.2
-
9
-
-
0001575698
-
Useful modifications to some unit root tests with dependent errors and their local asymptotic properties
-
Perron, P. & S. Ng (1996) Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies 63, 435-463.
-
(1996)
Review of Economic Studies
, vol.63
, pp. 435-463
-
-
Perron, P.1
Ng, S.2
-
10
-
-
21144462364
-
Testing for a unit root in a time series with a changing mean: Corrections and extensions
-
Perron, P. & T.J. Vogelsang (1992) Testing for a unit root in a time series with a changing mean: Corrections and extensions. Journal of Business & Economic Statistics 10, 467-470.
-
(1992)
Journal of Business & Economic Statistics
, vol.10
, pp. 467-470
-
-
Perron, P.1
Vogelsang, T.J.2
-
11
-
-
77956890713
-
Towards a unified asymptotic theory for autoregression
-
Phillips, P.C.B. (1987) Towards a unified asymptotic theory for autoregression. Biometrika 74, 535-547.
-
(1987)
Biometrika
, vol.74
, pp. 535-547
-
-
Phillips, P.C.B.1
-
12
-
-
77956888124
-
Testing for a unit root in time series regression
-
Phillips, P.C.B. & P. Perron (1988) Testing for a unit root in time series regression. Biometrika 75, 335-346.
-
(1988)
Biometrika
, vol.75
, pp. 335-346
-
-
Phillips, P.C.B.1
Perron, P.2
-
14
-
-
19044371729
-
Testing for unit roots in autoregressive-moving average models of unknown order
-
Said, S.E. & D.A. Dickey (1984) Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika 71, 599-607.
-
(1984)
Biometrika
, vol.71
, pp. 599-607
-
-
Said, S.E.1
Dickey, D.A.2
-
15
-
-
84952511099
-
Tests for unit roots: A Monte Carlo investigation
-
Schwert,W. (1989) Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics 7, 147-159.
-
(1989)
Journal of Business & Economic Statistics
, vol.7
, pp. 147-159
-
-
Schwert, W.1
-
16
-
-
0000745315
-
Inference in linear time series models with some unit roots
-
Sims, C.A., J.H. Stock, & M.W. Watson (1990) Inference in linear time series models with some unit roots. Econometrica 58, 113-144.
-
(1990)
Econometrica
, vol.58
, pp. 113-144
-
-
Sims, C.A.1
Stock, J.H.2
Watson, M.W.3
|