Improved HAC covariance matrix estimation based on forecast errors
Chung-Ming Kuan () and
Yu-Wei Hsieh ()
Economics Letters, 2008, vol. 99, issue 1, 89-92
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.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Improved HAC Covariance Matrix Estimation Based on Forecast Errors (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:99:y:2008:i:1:p:89-92
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().