Is Newey-West optimal among first-order kernels?

DOI10.1016/j.jeconom.2022.12.013MaRDI QIDQ6199656

Thomas Kolokotrones, Christopher D. Walker, James H. Stock

Publication date: 21 March 2024

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

zbMATH Keywords

kernelHARlong-run variance estimatorheteroskedasticity- and autocorrelation-robust estimation

Mathematics Subject Classification ID

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

Cites Work

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