Improved HAC Covariance Matrix Estimation Based on Forecast Errors
AbstractWe propose computing HAC covariance matrix estimators based on one-stepahead forecasting errors. It is shown that this estimator is consistent and has smaller bias than other HAC estimators. Moreover, the tests that rely on this estimator have more accurate sizes without sacrificing its power.
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Bibliographic InfoPaper provided by Institute of Economics, Academia Sinica, Taipei, Taiwan in its series IEAS Working Paper : academic research with number 06-A008.
Length: 8 pages
Date of creation: Sep 2006
Date of revision:
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Web page: http://www.econ.sinica.edu.tw/index.php?foreLang=en
More information through EDIRC
forecast error; HAC estimator; kernel estimator; recursive residual; robust test;
Other versions of this item:
- Kuan, Chung-Ming & Hsieh, Yu-Wei, 2008. "Improved HAC covariance matrix estimation based on forecast errors," Economics Letters, Elsevier, vol. 99(1), pages 89-92, April.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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