On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
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DOI: 10.2202/1941-1928.1062
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- Pierre Perron & Linxia Ren, 2010. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Boston University - Department of Economics - Working Papers Series WP2010-049, Boston University - Department of Economics.
References listed on IDEAS
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Cited by:
- Preinerstorfer, David & Pötscher, Benedikt M., 2016.
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Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
- Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
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More about this item
Keywords
ill-posed problems; robust inference; HAC estimates; spectral density function at frequency zero;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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