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Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation

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Kiefer, Nicholas M. (U of Aarhus and Cornell U)
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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Paper provided by Cornell University, Center for Analytic Economics in its series Working Papers with number 01-13.

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Date of creation: Feb 2001
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Handle: RePEc:ecl:corcae:01-13

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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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  1. T.J. Vogelsang & P.H. Franses, 2001. "Testing for common deterministic trend slopes," Econometric Institute Report 224, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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