The Size‐Power Tradeoff in HAR Inference

DOI10.3982/ecta15404OpenAlexW3201027892MaRDI QIDQ6157651

Daniel Lewis, James H. Stock, Unnamed Author

Publication date: 12 May 2023

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta15404

zbMATH Keywords

HARlong-run variance estimatorheteroskedasticity- and autocorrelation-robust estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity ⋮ Is Newey-West optimal among first-order kernels?

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