Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation
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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| Date of creation: | Feb 2001 |
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| Handle: | RePEc:ecl:corcae:01-13 |
| Contact details of provider: | Postal: Phone: (607) 255-9901 Fax: (607) 255-2818 Web page: http://www.arts.cornell.edu/econ/CAE/workingpapers.html More information through EDIRC
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- 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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