Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework

Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework

(2014) Yixiao Sun   ECONOMETRICA

Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

(2013) Min Seong Kim et al.   JOURNAL OF ECONOMETRICS

Sieve inference on possibly misspecified semi-nonparametric time series models

(2013) Xiaohong Chen et al.   JOURNAL OF ECONOMETRICS

Let’s fix it: Fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

(2013) Yixiao Sun   JOURNAL OF ECONOMETRICS

A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator

(2012) Yixiao Sun   Econometrics Journal

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

(2011) Yixiao Sun   JOURNAL OF ECONOMETRICS

Inference with dependent data using cluster covariance estimators

(2011) C. Alan Bester et al.   JOURNAL OF ECONOMETRICS

Simple and powerful GMM over-identification tests with accurate size

(2011) Yixiao Sun et al.   JOURNAL OF ECONOMETRICS

Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects

(2011) Timothy J. Vogelsang   JOURNAL OF ECONOMETRICS

POWER MAXIMIZATION AND SIZE CONTROL IN HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS WITH EXPONENTIATED KERNELS

(2011) Yixiao Sun et al.   ECONOMETRIC THEORY

THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS

(2011) Sílvia Gonçalves   ECONOMETRIC THEORY

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

(2011) Sílvia Gonçalves et al.   ECONOMETRIC THEORY

A self-normalized approach to confidence interval construction in time series

(2010) Xiaofeng Shao   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

t-Statistic Based Correlation and Heterogeneity Robust Inference

(2009) Rustam Ibragimov et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

(2008) Yixiao Sun et al.   ECONOMETRICA