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Journal of the American Statistical Association Volume 96, 2001 - Issue 455
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Primary Article

Simple Robust Testing of Hypotheses in Nonlinear Models

Helle Bunzel Helle Bunzel is Assistant Professor, Department of Economics, Iowa State University, Ames, IA 50011 , Nicholas M. Kiefer is Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853, and Department of Economics, University of Aarhus, DK 8000 C, Aarhus, Denmark. Timothy J. Vogelsang is Associate Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853 . The authors are grateful to two anonymous referees and an associate editor for helpful comments that helped improve the article. Kiefer and Vogelsang also thank the Center for Analytic Economics at Cornell University.
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Nicholas M Kiefer Helle Bunzel is Assistant Professor, Department of Economics, Iowa State University, Ames, IA 50011 , Nicholas M. Kiefer is Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853, and Department of Economics, University of Aarhus, DK 8000 C, Aarhus, Denmark. Timothy J. Vogelsang is Associate Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853 . The authors are grateful to two anonymous referees and an associate editor for helpful comments that helped improve the article. Kiefer and Vogelsang also thank the Center for Analytic Economics at Cornell University.
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Timothy J Vogelsang Helle Bunzel is Assistant Professor, Department of Economics, Iowa State University, Ames, IA 50011 , Nicholas M. Kiefer is Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853, and Department of Economics, University of Aarhus, DK 8000 C, Aarhus, Denmark. Timothy J. Vogelsang is Associate Professor, Departments of Economics and Statistical Sciences, Cornell University, Ithaca, NY 14853 . The authors are grateful to two anonymous referees and an associate editor for helpful comments that helped improve the article. Kiefer and Vogelsang also thank the Center for Analytic Economics at Cornell University.
Pages 1088-1096 | Published online: 31 Dec 2011

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Henriette Groenvik & Yeonwoo Rho. (2018) A self-normalizing approach to the specification test of mixed-frequency models. Communications in Statistics - Theory and Methods 47:8, pages 1913-1922.
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Yi-Ting Chen & Zhongjun Qu. (2015) M Tests with a New Normalization Matrix. Econometric Reviews 34:5, pages 617-652.
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Steen Magnussen & Erkki Tomppo. (2014) The k-nearest neighbor technique with local linear regression. Scandinavian Journal of Forest Research 29:2, pages 120-131.
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Norman R. Draper. (2002) APPLIED REGRESSION ANALYSIS BIBLIOGRAPHY UPDATE 2000–2001. Communications in Statistics - Theory and Methods 31:11, pages 2051-2075.
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Yiu Lim Lui, Peter C.B. Phillips & Jun Yu. (2024) Robust testing for explosive behavior with strongly dependent errors. Journal of Econometrics 238:2, pages 105626.
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Heejoon Han, Oliver Linton, Tatsushi Oka & Yoon-Jae Whang. (2016) The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. Journal of Econometrics 193:1, pages 251-270.
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Wei-Ming Lee, Yu-Chin Hsu & Chung-Ming Kuan. (2015) Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions. The Econometrics Journal 18:1, pages 95-116.
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Ross R. McKitrick & Timothy J. Vogelsang. (2014) HAC robust trend comparisons among climate series with possible level shifts. Environmetrics 25:7, pages 528-547.
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Wei-Ming Lee, Chung-Ming Kuan & Yu-Chin Hsu. (2014) Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix. Journal of Econometrics 181:2, pages 181-193.
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Daniel J. Nordman, Helle Bunzel & Soumendra N. Lahiri. (2013) A nonstandard empirical likelihood for time series. The Annals of Statistics 41:6.
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Yeonwoo Rho & Xiaofeng Shao. (2013) Improving the bandwidth-free inference methods by prewhitening. Journal of Statistical Planning and Inference 143:11, pages 1912-1922.
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Hengqing Tong, T. Krishna Kumar & Yangxin Huang. 2011. Developing Econometrics. Developing Econometrics 129 192 .
Xiaofeng Shao. (2010) A Self-Normalized Approach to Confidence Interval Construction in Time Series. Journal of the Royal Statistical Society Series B: Statistical Methodology 72:3, pages 343-366.
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Helle Bunzel. (2006) FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS. Econometric Theory 22:04.
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Nicholas M. Kiefer & Timothy J. Vogelsang. (2005) A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS. Econometric Theory 21:06.
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Michael Jansson. (2004) The Error in Rejection Probability of Simple Autocorrelation Robust Tests. Econometrica 72:3, pages 937-946.
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Heejoon Han, Oliver B. Linton, Tatsushi Oka & Yoon-Jae Whang. (2013) The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series. SSRN Electronic Journal.
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Wei-Ming Lee. (2008) Robust Tests of Hypotheses in Models with M-Estimation. SSRN Electronic Journal.
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Wei-Ming Lee & Chung-Ming Kuan. (2009) Testing Over-Identifying Restrictions Without Consistent Estimation of the Asymptotic Covariance Matrix. SSRN Electronic Journal.
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