Comment on "HAR Inference: Recommendations for Practice"
From MaRDI portal
Publication:6623208
DOI10.1080/07350015.2018.1497503zbMATH Open1547.62937MaRDI QIDQ6623208
Publication date: 23 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A theory of robust long-run variance estimation
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Automatic Lag Selection in Covariance Matrix Estimation
- Fixed‐banalysis of LM‐type tests for a shift in mean
- Serial Correlation Robust LM
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- HAR Inference: Recommendations for Practice
This page was built for publication: Comment on "HAR Inference: Recommendations for Practice"
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6623208)
