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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

Abstract: 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.

Date: 2008
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Working Paper: Improved HAC Covariance Matrix Estimation Based on Forecast Errors (2006) Downloads
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Handle: RePEc:eee:ecolet:v:99:y:2008:i:1:p:89-92