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Adaptive Local Polynomial Whittle Estimation of Long‐range Dependence

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DWK Andrews… - Econometrica, 2004 - Wiley Online Library
The local Whittle (or Gaussian semiparametric) estimator of long range dependence,
proposed by Künsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of
convergence and a finite sample bias that can be large. In this paper, we generalize the ...
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Nonlinear log-periodogram regression for perturbed fractional processes

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Y Sun… - Journal of Econometrics, 2003 - Elsevier
This paper studies fractional processes that may be perturbed by weakly dependent time
series. The model for a perturbed fractional process has a components framework in which
there may be components of both long and short memory. All commonly used estimates of ...
Cited by 62 - Related articles - Library Search - BL Direct - All 27 versions

Understanding the Fisher equation

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Y Sun… - Journal of Applied Econometrics, 2004 - Wiley Online Library
It is argued that univariate long memory estimates based on ex post data tend to
underestimate the persistence of ex ante variables (and, hence, that of the ex post variables
themselves) because of the presence of unanticipated shocks whose short-run volatility ...
Cited by 47 - Related articles - BL Direct - All 10 versions

Optimal bandwidth selection in heteroskedasticity–autocorrelation robust testing

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Y Sun, PCB Phillips… - Econometrica, 2008 - Wiley Online Library
This paper considers studentized tests in time series regressions with nonparametrically
autocorrelated errors. The studentization is based on robust standard errors with truncation
lag M= bT for some constant b∈(0, 1] and sample size T. It is shown that the nonstandard ...
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SPECTRAL DENSITY ESTIMATION AND ROBUST HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION*

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PCB Phillips, Y Sun… - International Economic Review, 2006 - Wiley Online Library
Phillips, PCB, Sun, Y. and Jin, S.(2006), SPECTRAL DENSITY ESTIMATION AND ROBUST
HYPOTHESIS TESTING USING STEEP ORIGIN KERNELS WITHOUT TRUNCATION.
International Economic Review, 47: 837–894. doi: 10.1111/j. 1468-2354.2006. 00398. x
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A convergent t-statistic in spurious regressions

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Y Sun - Econometric Theory, 2004 - Cambridge Univ Press
Abstract This paper investigates the asymptotic properties of the t-statistic in spurious
regressions when the bandwidth in the estimation of the heteroskedasticity and
autocorrelation consistent (HAC) standard error is set proportional to the sample size. ...
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The Tobit model with a non‐zero threshold

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RT Carson… - The Econometrics Journal, 2007 - Wiley Online Library
Summary The standard Tobit maximum likelihood estimator under zero censoring threshold
produces inconsistent parameter estimates, when the constant censoring threshold γ is non-
zero and unknown. Unfortunately, the recording of a zero rather than the actual censoring ...
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Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

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PCB Phillips, Y Sun… - Journal of statistical planning and inference, 2007 - Elsevier
A new family of kernels is suggested for use in long run variance (LRV) estimation and
robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel
and are intended to be used with no truncation (or bandwidth) parameter. As the power ...
Cited by 13 - Related articles - Get it from MIT Libraries - All 9 versions

Best quadratic unbiased estimators of integrated variance in the presence of market microstructure noise

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Y Sun - 2010 - papers.ssrn.com
Abstract: We consider the best quadratic unbiased estimators of the integrated variance in
the presence of independent market microstructure noise. We establish the asymptotic
normality of a feasible best quadratic unbiased estimator under the assumption of ...
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Optimal bandwidth choice for interval estimation in GMM regression

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Y Sun… - 2008 - papers.ssrn.com
Abstract: In time series regression with nonparametrically autocorrelated errors, it is now
standard empirical practice to construct confidence intervals for regression coefficients on
the basis of nonparametrically studentized t-statistics. The standard error used in the ...
Cited by 8 - Related articles - All 26 versions

Spurious regressions between stationary generalized long memory processes

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Y Sun - Economics Letters, 2006 - Elsevier
This paper shows that a spurious regression can occur between two stationary generalized
fractional processes, as long as their generalized fractional differencing parameters sum up
to a value greater than 0.5 and their spectral densities have poles at the same location. ...
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Long run variance estimation using steep origin kernels without truncation

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P Phillips, Y Sun… - 2003 - papers.ssrn.com
Abstract: A new class of kernel estimates is proposed for long run variance (LRV) and
heteroskedastic autocorrelation consistent (HAC) estimation. The kernels are called steep
origin kernels and are related to a class of sharp origin kernels explored by the authors ( ...
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Estimation and Inference in Panel Structure Models

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Y Sun - 2005 - papers.ssrn.com
Abstract: This paper proposes and implements a tractable approach to detect group
structure in panel data. The mechanism works by means of a panel structure model, which
assumes that individuals form a number of homogeneous groups in a heterogeneous ...
Cited by 7 - Related articles - All 11 versions

Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix

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MS Kim… - Journal of Econometrics, 2011 - Elsevier
This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC)
estimation of covariance matrices of parameter estimators. We generalize the spatial HAC
estimator introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear ...
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Bias-reduced log-periodogram and Whittle estimation of the long-memory parameter without variance inflation

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P Guggenberger… - Econometric Theory, 2006 - Cambridge Univ Press
The bias-reduced log-periodogram estimator ZdLP~ r!, r 1 of Andrews and Guggenberger~
2003, Econometrica 71, 675–712! for the long-memory parameter d in a stationary long-
memory time series reduces the asymptotic bias of the original log-periodogram estimator ...
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Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference

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Y Sun - 2010 - papers.ssrn.com
Abstract: In the presence of heteroscedasticity and autocorrelation of unknown forms, the
covariance matrix of the parameter estimator is often estimated using a nonparametric
kernel method that involves a lag truncation parameter. Depending on whether this lag ...
Cited by 7 - Related articles - All 4 versions

Asymptotic distributions of impulse response functions in short panel vector autoregressions

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B Cao… - Journal of Econometrics, 2011 - Elsevier
Abstract This paper establishes the asymptotic distributions of the impulse response
functions in panel vector autoregressions with a fixed time dimension. It also proves the
asymptotic validity of a bootstrap approximation to their sampling distributions. The ...
Cited by 6 - Related articles - Get it from MIT Libraries - All 7 versions

Estimation of the long-run average relationship in nonstationary panel time series

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Y Sun - Econometric Theory, 2004 - Cambridge Univ Press
This paper proposes a new class of estimators of the long-run average relationship in
nonstationary panel time series+ The estimators are based on the long-run average
variance estimate using bandwidth equal to T+ The new estimators include the pooled ...
Cited by 5 - Related articles - Library Search - BL Direct - All 19 versions

[PDF] Asymptotic Theory for Panel Structure Models

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Y Sun - Yale University, 2001 - econ.ucsd.edu
ABSTRACT This paper proposes and implements a tractable approach to detect group
structure in panel data. The mechanism works by means of a panel structure model, which
assumes that individuals form a number of homogeneous groups in a heterogeneous ...
Cited by 5 - Related articles - View as HTML - All 3 versions

[PDF] Catching up, forging ahead, and falling behind: a panel structure analysis of convergence clubs

[PDF] from ucsd.edu
Y Sun - UCSD mimeographed, 2001 - weber.ucsd.edu
ABSTRACT The paper advocates and implements a new panel structure model to
investigate the club convergence hypothesis. The model consists of a set of linear dynamic
models that characterize the behavior of growth rates within each convergence club and a ...
Cited by 4 - Related articles - View as HTML - All 3 versions

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

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Y Sun - Journal of Econometrics, 2011 - Elsevier
The paper develops a novel testing procedure for hypotheses on deterministic trends in a
multivariate trend stationary model. The trends are estimated by the OLS estimator and the
long run variance (LRV) matrix is estimated by a series type estimator with carefully ...
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[PDF] Nonorthogonal Hilbert projections in trend regression

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PCB Phillips… - Econometric Theory, 2001 - econ.ucsd.edu
Abstract We consider detrending procedures in continuous time when the errors folM low a
Brownian motion and a diffusion process, respectively. We show that more efficient trend
extraction is accomplished by nonMorthogonal Hilbert proM jections in both cases.
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Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects

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Y Sun… - 2011 - papers.ssrn.com
Abstract: This paper studies robust inference for linear panel models with fixed effects in the
presence of heteroskedasticity and spatiotemporal dependence of unknown forms. We
propose a bivariate kernel covariance estimator that is flexible to nest existing estimators ...
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02.3. 1. Regression with an Evaporating Logarithmic Trend—Solution

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PCB Phillips… - Econometric Theory, 2003 - Cambridge Univ Press
Tilburg University, The Netherlands~ a! Let x1 and x2 be independent variates having m+ g+
f+ s m1~ t1! and m2~ t2!, respectively, and define y: x1 x2+ Prove that y is normal if and only
if x1 and x2 are both normal+ Is the existence of m+ g+ f+ s necessary for this result?~ b! ...
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A new asymptotic theory for vector autoregressive long-run variance estimation and autocorrelation robust testing

[PDF] from bu.edu
Y Sun… - 2010 - papers.ssrn.com
Abstract: In this paper, we develop a new asymptotic theory of the long run variance
estimator obtained by fitting a vector autoregressive model to the transformed moment
processes in a GMM framework. In contrast to the conventional asymptotics where the ...
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[PDF] Asymptotic F test in the presence of nonparametric spatial dependence

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Y Sun… - 2010 - econ.ucsd.edu
Abstract The paper considers M estimation and develops a new test that corrects for spatial
autocorrelation. The test is based on the covariance matrix estimator that involves projecting
the data onto a set of orthonormal bases and using the sample variance of the projection ...
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A New Approach to Robust Inference in Cointegration

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S Jin, P Phillips… - Cowles Foundation Discussion Paper No …, 2005 - papers.ssrn.com
Abstract: 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 ...
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Simple and powerful GMM over-identification tests with accurate size

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Y Sun… - Journal of Econometrics, 2011 - Elsevier
Based on the series long run variance estimator, we propose a new class of over-
identification tests that are robust to heteroscedasticity and autocorrelation of unknown
forms. We show that when the number of terms used in the series long run variance ...
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[PDF] Efficient detrending in the presence of fractional errors

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Y Sun, PCB Phillips… - 1999 - dss.ucsd.edu
ABSTRACT This paper examines the efficiency gains of GLS detrending over OLS
detrending in the model yt= ztγ+ ut, where zt=(1, t,..., tk− 1) and ut∼ I (d),− 1/2< d< 3/2. A
famous theorem on trend removal by OLS regression (usually attributed to Grenander and ...
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[PDF] On Testing $ Optimal Smoothing Parameter Choice in Robust Multivariate Trend Inference

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Y Sun - 2009 - econ.ucsb.edu
ABSTRACT The paper develops a novel testing procedure for hypotheses on deterministic
trends in a multivariate trend stationary model. The trends are estimated by the OLS
estimator and the long run variance (LRV) matrix is estimated by a multiple window ...
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A new approach to robust inference in cointegration

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S Jin, PCB Phillips… - Economics Letters, 2006 - Elsevier
A new approach to robust testing in cointegrated systems is proposed using non-parametric
HAC estimators without truncation. While such HAC estimates are inconsistent, they still
produce asymptotically pivotal tests and, as in conventional regression settings, can ...
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[PDF] Autocorrelation Robust Mean Inference Using Nonparametric Series Methods

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Y Sun - webmeets.com
Abstract: The paper develops a new testing procedure for hypotheses on the mean of a
multivariate time series. The test is based on the long run variance (LRV) matrix estimators
that involve projecting the time series onto a set of orthonormal bases and using the ...
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[CITATION] School of Economics

S Ashley, S Bowen, R Carruth, J Cui, S Ergun… - Policy, 2012 - econ.gatech.edu
... Chengyue Peng. Details. Jingwen Qu. Details. Zhi Qu. Details. Bushra Siddiqi. Details. Maxim
Spivakovsky. Details. Xiuli Sun. Details. Yixiao Sun. Details. Gowri Thampi. Details. Xinping Tian.
Details. Asel Urmanbetova. Details. Sarju Vasavada. Details. Jianqiu Wang. Details. Ran ...
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[CITATION] A Theory of Optimal Heteroscedasicity-Autocorrlation Robust Inference

Y Sun, PCB Phillips…
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[PDF] Regression with an Evaporating Logarithmic Trend

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PCB Phillips… - Econometric Theory, 2002 - econ.ucsd.edu
Abstract Linear regression on an intercept and an evaporating logarithmic trend is shown to
be asymptotically collinear to the second order. Consistency results for least squares are
given, rates of convergence are obtained and asymptotic normality is established for short ...
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Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

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Y Sun, PCB Phillips… - Econometric Theory, 2011 - Cambridge Univ Press
Using the power kernels of Phillips, Sun, and Jin (2006, 2007), we examine the large
sample asymptotic properties of the t-test for different choices of power parameter (ρ). We
show that the nonstandard fixed-ρ limit distributions of the t-statistic provide more accurate ...
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Analysis of the Methods and Entry Points of Ethos Review in Teaching of" Principle

S Yixiao - en.cnki.com.cn
diversified social thoughts are spreading here and there, and its increasingly powerful
discourse has made a strong impulse to mainstream ideology and ideological and political
education of our country. An important issue of ideological and political education is how ...
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[CITATION] Econometrics of Panel Structure Models and Long Memory Processes

Y Sun - 2002 - en.scientificcommons.org
Publication View. 33914415. Econometrics of panel structure models and long memory
processes / (2002). Sun, Yixiao. Abstract. Thesis (Ph. D.)--Yale University, 2002.
Publication details. Download, http://worldcat.org/oclc/54644710. ...
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[CITATION] A Theory of Optimal Heteroscedasicity# Autocorrlation Robust Inference

PCB Phillips… - 2005
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k-Step Bootstrap Bias Correction for Fixed Effects Estimators in Nonlinear Panel Models

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Y Sun… - 2010 - papers.ssrn.com
Abstract: Fixed effects estimators in nonlinear panel models with fixed T usually suffer from
inconsistency because of the incidental parameters problem first noted by Neyman and
Scott (1948). Moreover, even though T grows at the same rate as n, they are ...
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Optimal Threshold Selection for Realized Volatility Forecasts in the Presence of Jumps

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Y Sun… - 2010 - papers.ssrn.com
Abstract: When estimating and forecasting realized volatility in the presence of jumps, a form
of bias-variance tradeoff is present in the selection of the truncation threshold. We propose
an optimal method for threshold selection that minimizes the out-of-sample forecasting ...
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