The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity (Q6193066)
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scientific article; zbMATH DE number 7803964
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity |
scientific article; zbMATH DE number 7803964 |
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The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity (English)
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13 February 2024
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asymptotic expansion
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fixed-\(b\)
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HAC standard errors
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HAR inference
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long-run variance
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nonstationarity
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