Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
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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
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美国国家经济研究局创建时间：
2000-06-01
