Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

DOI10.1016/j.jeconom.2022.05.001arXiv2103.02981OpenAlexW3167245846MaRDI QIDQ6108257

Alessandro Casini

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.02981

zbMATH Keywords

outliersnonstationaritymisspecificationlong-run varianceHARfixed-\(b\)HAC standard errorssegmented locally stationary

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (5)

BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ Mean stationarity test in time series: a signal variance-based approach ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation” ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity

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