Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels without Truncation By

" Fixed-smoothing Asymptotics and Ac- Curate F Approximation Using Vector Autoregressive Covariance Ma

Kiefer, N. M., Vogelsang, T. J., and Bunzel, H. (2000), “Simple Robust Testing of Regression Hypotheses,” Econometrica, 68, 695–714. [311,314] King, M. L. (1980), “Robust Tests for Spherical Symmetry and Their Application to Least Squares Regression,” The Annals of Statistics, 8, 1265–1271. [316] ——— (1987), “Towards a Theory of Point Optimal Testing,” Econometric Reviews, 6, 169–218. [315] Leh...

Long Run Variance Estimation Using Steep Origin Kernels without Truncation

Consistent Hac Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

A New Approach to Robust Inference in Cointegration

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference. JEL Classi…cation: C12; C14; C22 Keywords: Cointegration, HAC estimation, robust inference, steep orig...

White noise testing and model diagnostic checking for functional time series

This paper is concerned with white noise testing and model diagnostic checking for stationary functional time series. To test for the functional white noise null hypothesis, we propose a Cramér-von Mises type test based on the functional periodogram introduced by Panaretos and Tavakolithe (2013a). Using the Hilbert space approach, we derive the asymptotic distribution of the test statistic unde...