Lobato and Robinson developed semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. The…
We consider estimation and inference in fractionally integrated time series models driven by shocks which can display conditional and unconditional heteroscedasticity of unknown form. Although the …
We study two cluster-robust variance estimators (CRVEs) for regression models with clustering in two dimensions and give conditions under which t-statistics based on each of them yield asymptotical…