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Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

https://doi.org/10.2139/ssrn.1536546
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.972openalex-extracted
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three‐factor Fama–French asset‐pricing model
inferredcites →https://doi.org/10.1016/j.jempfin.2009.07.006openalex-extracted
Testing the CAPM revisited
inferredcites →https://doi.org/10.1016/j.jspi.2006.06.033openalex-extracted
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
inferredcites →https://doi.org/10.1016/s0731-9053(03)17010-7openalex-extracted
TESTING IN GMM MODELS WITHOUT TRUNCATION
inferredcites →https://doi.org/10.1017/s0266466601173019openalex-extracted
EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
inferredcites →https://doi.org/10.1017/s026646660218604xopenalex-extracted
HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
inferredcites →https://doi.org/10.1017/s0266466602186087openalex-extracted
CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES
inferredcites →https://doi.org/10.1017/s0266466605050565openalex-extracted
A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
inferredcites →https://doi.org/10.1111/1468-0262.00115openalex-extracted
Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
inferredcites →https://doi.org/10.1111/1468-0262.00128openalex-extracted
Simple Robust Testing of Regression Hypotheses
inferredcites →https://doi.org/10.1111/1468-0262.00366openalex-extracted
Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
inferredcites →https://doi.org/10.1111/j.0012-9682.2008.00822.xopenalex-extracted
Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
inferredcites →https://doi.org/10.1111/j.1468-0262.2004.00517.xopenalex-extracted
The Error in Rejection Probability of Simple Autocorrelation Robust Tests
inferredcites →https://doi.org/10.1111/j.1468-2354.2006.00398.xopenalex-extracted
SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION*
inferredcites →https://doi.org/10.2139/ssrn.410926openalex-extracted
Estimation of the Long-Run Average Relationship in Nonstationary Panel Time Series
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2297912openalex-extracted
Automatic Lag Selection in Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2938229openalex-extracted
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
inferredcites →https://doi.org/10.2307/2951574openalex-extracted
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
inferredcites →https://doi.org/10.2307/2951575openalex-extracted
Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
inferredcites →https://doi.org/10.1016/s0169-7161(97)15014-3openalex-snapshot
12 A practitioner's guide to robust covariance matrix estimation
inferredcites →https://doi.org/10.1017/s0266466604206077openalex-snapshot
ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
inferredcites →https://doi.org/10.1017/s0266466605050085openalex-snapshot
HAC ESTIMATION BY AUTOMATED REGRESSION
inferredcites →https://doi.org/10.1111/j.1468-0084.2005.00130.xopenalex-snapshot
Prewhitening Bias in HAC Estimation*

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inferred← citeshttps://doi.org/10.1016/j.jeconom.2011.06.017openalex-snapshot
Robust trend inference with series variance estimator and testing-optimal smoothing parameter
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