Abhimanyu Gupta, Myung Hwan Seo
arXiv 20 Nov 2019 · Econometrics · publishedEconometrica (2023) · 7 citations (OpenAlex)
arXiv:1911.08637 · PDF · DOI · OpenAlex · Extracted main text
We develop a class of tests for time series models such as multiple regression with growing dimension, infinite-order autoregression and nonparametric sieve regression. Examples include the Chow test and general linear restriction tests of growing rank $p$. Employing such increasing $p$ asymptotics, we introduce a new scale correction to conventional test statistics which accounts for a high-order long-run variance (HLV) that emerges as $ p $ grows with sample size. We also propose a bias correction via a null-imposed bootstrap to alleviate finite sample bias without sacrificing power unduly. A simulation study shows the importance of robustifying testing procedures against the HLV even when $ p $ is moderate. The tests are illustrated with an application to the oil regressions in Hamilton (2003).
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Sun, Y (2014) Fixed-smoothing asymptotics in a two-step GMM framework | 0.956 | 8 | 3 | 88% |
| 2 | Hamilton, J. D (2003) What is an oil shock? | 0.928 | 4 | 3 | 100% |
| 3 | Hong, Y. and H. White (1995) Consistent specification testing via nonparametric series regression | 0.928 | 4 | 3 | 100% |
| 4 | Newey, W. K (1997) Convergence rates and asymptotic normality for series estimators | 0.843 | 4 | 3 | 75% |
| 5 | Chen, X (2007) Large sample sieve estimation of semi-nonparametric models | 0.811 | 4 | 2 | 100% |
| 6 | Goncalves, S. and L. Kilian (2007) Asymptotic and bootstrap inference for AR($$) processes with conditional heteroskedasticity | 0.737 | 3 | 3 | 67% |
| 7 | Kline, P., R. Saggio, and M. Slvsten (2020) Leave-out estimation of variance components | 0.737 | 3 | 2 | 100% |
| 8 | Andrews, D. W. K (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.644 | 2 | 2 | 100% |
| 9 | de Jong, R. M. and H. J. Bierens (1994) On the limit behavior of a chi-square type test if the number of conditional moments tested approaches infinity | 0.644 | 2 | 2 | 100% |
| 10 | Gupta, A (2018) Nonparametric specification testing via the trinity of tests self | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 53 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | SGMM: Stochastic Approximation to Generalized Method of Moments | 0.644 | 2 | 2 |
| 2 | Testing linearity of spatial interaction functions à la Ramsey | 0.644 | 2 | 2 |
| 3 | Linear Regression with Weak Exogeneity | 0.405 | 1 | 1 |
| 4 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods | 0.405 | 1 | 1 |
| 5 | Wald inference on varying coefficients | 0.405 | 1 | 1 |