Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
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Publication:6108257
DOI10.1016/j.jeconom.2022.05.001arXiv2103.02981OpenAlexW3167245846MaRDI QIDQ6108257
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
outliersnonstationaritymisspecificationlong-run varianceHARfixed-\(b\)HAC standard errorssegmented locally stationary
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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