A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
نویسندگان
چکیده
منابع مشابه
A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
A new rst-order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a xed proportion of the sample size. This leads to a distribution theory for HAC robust tests that explicitly captures the choice of bandwidth and kernel. This contrasts with...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2005
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466605050565