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Full-Text Articles in Statistical Methodology
Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith
Variational Bayes Estimation Of Discrete-Margined Copula Models With Application To Ime Series, Ruben Loaiza-Maya, Michael S. Smith
Michael Stanley Smith
Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb
Accurately Sized Test Statistics With Misspecified Conditional Homoskedasticity, Douglas Steigerwald, Jack Erb
Douglas G. Steigerwald
We study the finite-sample performance of test statistics in linear regression models where the error dependence is of unknown form. With an unknown dependence structure there is traditionally a trade-off between the maximum lag over which the correlation is estimated (the bandwidth) and the amount of heterogeneity in the process. When allowing for heterogeneity, through conditional heteroskedasticity, the correlation at far lags is generally omitted and the resultant inflation of the empirical size of test statistics has long been recognized. To allow for correlation at far lags we study test statistics constructed under the possibly misspecified assumption of conditional homoskedasticity. …