Improved HAC covariance matrix estimation based on forecast errors

被引：2
|
作者：
Kuan, Chung-Ming [1 ]
Hsieh, Yu-Wei [2 ]
机构：
[1] Acad Sinica, Inst Econ, Taipei 115, Taiwan
[2] Natl Taiwan Univ, Dept Econ, Taipei, Taiwan
来源：
ECONOMICS LETTERS | 2008年 / 99卷 / 01期
关键词：
forecast error; HAC estimator; kernel estimator; recursive residual; robust test;
D O I：
10.1016/j.econlet.2007.06.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose computing HAC covariance matrix estimators based on one-step-ahead forecasting errors. It is shown that this estimator is consistent and has smaller bias than other HAC estimators. Moreover, the tests that rely on this estimator have more accurate sizes without sacrificing its power. (c) 2007 Elsevier B.V. All rights reserved.
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页码：89 / 92
页数：4
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