The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity

DOI10.1016/j.jeconom.2023.105625arXiv2111.14590OpenAlexW3216186679MaRDI QIDQ6193066

Alessandro Casini

Publication date: 13 February 2024

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

Full work available at URL: https://arxiv.org/abs/2111.14590

zbMATH Keywords

asymptotic expansionnonstationaritylong-run variancefixed-\(b\)HAC standard errorsHAR inference

Mathematics Subject Classification ID

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

Cites Work

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