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)

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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• Simple Robust Testing of Regression Hypotheses
• Statistical Spectral Analysis of Time Series Arising from Stationary Stochastic Processes
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests
• The Size‐Power Tradeoff in HAR Inference

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