HAR Inference: Recommendations for Practice
From MaRDI portal
Publication:6623204
DOI10.1080/07350015.2018.1506926zbMATH Open1547.62813MaRDI QIDQ6623204
Mark W. Watson, [[Person:6157650|Author name not available (Why is that?)]], James H. Stock, Daniel Lewis
Publication date: 23 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Related Items (16)
Spatial correlation robust inference ⋮ Robust inference on infinite and growing dimensional time-series regression ⋮ Measuring tail risk ⋮ Prewhitened long-run variance estimation robust to nonstationarity ⋮ Prediction intervals for economic fixed-event forecasts ⋮ In the praise of Prais-Winsten: an evaluation of methods used to account for autocorrelation in interrupted time series ⋮ Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation ⋮ A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations ⋮ Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application ⋮ Comment on "HAR Inference: Recommendations for Practice" ⋮ The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets ⋮ HAC Covariance Matrix Estimation in Quantile Regression ⋮ Reassessing the evidence on factor and portfolio premia ⋮ Optimal HAR inference ⋮ Local projections vs. VARs: lessons from thousands of DGPs ⋮ Some fixed-\(b\) results for regressions with high frequency data over long spans
This page was built for publication: HAR Inference: Recommendations for Practice
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6623204)