EconPapers    
Economics at your fingertips  
 

HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE

Nicholas Kiefer () and Timothy Vogelsang ()

Econometric Theory, 2002, vol. 18, issue 6, 1350-1366

Abstract: Asymptotic theory for heteroskedasticity autocorrelation consistent (HAC) covariance matrix estimators requires the truncation lag, or bandwidth, to increase more slowly than the sample size. This paper considers an alternative approach covering the case with the asymptotic covariance matrix estimated by kernel methods with truncation lag equal to sample size. Although such estimators are inconsistent, valid tests (asymptotically pivotal) for regression parameters can be constructed. The limiting distributions explicitly capture the truncation lag and choice of kernel. A local asymptotic power analysis shows that the Bartlett kernel delivers the highest power within a group of popular kernels. Finite sample simulations suggest that, regardless of the kernel chosen, the null asymptotic approximation of the new tests is often more accurate than that for conventional HAC estimators and asymptotics. Finite sample results on power show that the new approach is competitive.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (90) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-09-01
Handle: RePEc:cup:etheor:v:18:y:2002:i:06:p:1350-1366_18