Prewhitened long-run variance estimation robust to nonstationarity
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Publication:6573810
DOI10.1016/J.JECONOM.2024.105794MaRDI QIDQ6573810
Alessandro Casini, Pierre Perron
Publication date: 17 July 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
HACspectral densitynonstationaritylong-run varianceHARprewhiteningdata-dependent bandwidthsasymptotic minimax MSE
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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