Inference in time series models using smoothed-clustered standard errors

DOI10.1016/j.jeconom.2020.07.037OpenAlexW3092183261MaRDI QIDQ2043259

Seunghwa Rho, Timothy J. Vogelsang

Publication date: 30 July 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.037

zbMATH Keywords

fixed-b asymptoticsequally weighted cosinesheteroskedasticity autocorrelation robust inferencesystematic missing data

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ A modified Diebold-Mariano test for equal forecast accuracy with clustered dependence

Cites Work

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• The Effect of Aggregation on Prediction in the Autoregressive Model
• HAC ESTIMATION BY AUTOMATED REGRESSION
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes

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