Testing-optimal kernel choice in HAR inference

Author:

Sun Yixiao,Yang Jingjing

Funder

National Science Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference23 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. Efficient tests for an autoregressive unit root;Elliott;Econometrica,1996

3. Finite-sample properties of some alternative GMM estimators;Hansen;J. Bus. Econom. Statist.,1996

4. T-statistic based correlation and heterogeneity robust inference;Ibragimov;J. Bus. Econom. Statist.,2010

5. Heteroskedasticity-autocorrelation robust testing using bandwidth equal to sample size;Kiefer;Econometric Theory,2002

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1. Maximum-Subsampling Test of Equal Predictive Ability;Journal of Business & Economic Statistics;2024-02-26

2. High-Dimensional Granger Causality Tests with an Application to VIX and News;Journal of Financial Econometrics;2022-07-04

3. Robust Covariance Matrix Estimation in Time Series: A Review;Econometrics and Statistics;2021-12

4. The Size‐Power Tradeoff in HAR Inference;Econometrica;2021

5. The Size-Power Tradeoff in HAR Inference;SSRN Electronic Journal;2019

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