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Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

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  • Nicholas M. Kiefer

    ()
    (CAF, CDME and CLS, University of Aarhus, Denmark, and Cornell University, Ithaca, N.Y. U.S.A.)

  • Timothy J. Vogelsang

    ()
    (Cornell University, N.Y. U.S.A.)

Abstract

In this paper we analyze heteroskedasticity-autocorrelation (HAC) robust tests constructed using the Bartlett kernel without truncation. We show that while such an HAC estimator is not consistent, asymptotically valid testing is still possible. We show that tests using the Bartlett kernel without truncation are exactly equivalent to recent HAC robust tests proposed by Kiefer, Vogelsang and Bunzel (2000, Econometrica, 68, pp 695-714).

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 70 (2002)
Issue (Month): 5 (September)
Pages: 2093-2095

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Handle: RePEc:ecm:emetrp:v:70:y:2002:i:5:p:2093-2095

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  1. Karim M. Abadir & Paolo Paruolo, 1997. "Two Mixed Normal Densities from Cointegration Analysis," Econometrica, Econometric Society, vol. 65(3), pages 671-680, May.
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