Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
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https://www.nber.org/papers/t0255
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资源简介：
This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we
提供机构：
美国国家经济研究局
创建时间：
2000-06-01
