Is Newey-West optimal among first-order kernels?

DOI10.1016/J.JECONOM.2022.12.013MaRDI QIDQ6199656FDOQ6199656

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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• Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• The Size‐Power Tradeoff in HAR Inference

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