The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity
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Publication:6193066
DOI10.1016/j.jeconom.2023.105625arXiv2111.14590OpenAlexW3216186679MaRDI QIDQ6193066
Publication date: 13 February 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.14590
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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