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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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Suggested Citation

  • Nicholas M. Kiefer & Timothy J. Vogelsang, 2002. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation," Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
    • Handle: RePEc:ecm:emetrp:v:70:y:2002:i:5:p:2093-2095
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    References listed on IDEAS

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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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