Is Newey-West optimal among first-order kernels?

DOI10.1016/J.JECONOM.2022.12.013MaRDI QIDQ6199656zbMATH OpenFDO

Authors Thomas Kolokotrones, James H. Stock, Christopher D. Walker

Publication date 21 March 2024

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

Full work available at URL https://doi.org/10.1016/J.JECONOM.2022.12.013

zbMATH Keywords

kernelHARlong-run variance estimatorheteroskedasticity- and autocorrelation-robust estimation

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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Cited in

(1)

• A bias reduced long run variance estimator with a new first-order kernel

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