Prewhitening Bias in HAC Estimation
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Other versions of this item:
- Peter C.B. Phillips & Chi-Young Choi & Donggyu Sul, 2004. "Prewhitening Bias in HAC Estimation," Yale School of Management Working Papers ysm426, Yale School of Management.
- Sul, Donggyu & Phillips, Peter & Choi, Chi-Young, 2003. "Prewhitening Bias in HAC Estimation," Working Papers 141, Department of Economics, The University of Auckland.
More about this item
KeywordsAutoregression; Bias; HAC estimator; KPSS testing; Long run variance; Prewhitening; Recursive demeaning;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-12 (All new papers)
- NEP-ECM-2003-10-12 (Econometrics)
- NEP-ETS-2003-10-12 (Econometric Time Series)
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