Testing-optimal kernel choice in HAR inference

Yixiao Sun and Jingjing Yang

Journal of Econometrics, 2020, vol. 219, issue 1, 123-136

Abstract: The paper investigates the optimal kernel choice in heteroskedasticity and autocorrelation robust tests based on the fixed-b asymptotics. In parallel with the optimality of the quadratic spectral kernel under the asymptotic mean squared error criterion of the point estimator of the long run variance as considered in Andrews (1991) , we show that the optimality of the quadratic spectral kernel continues to hold under the testing-oriented criterion of Sun, Philips and Jin (2008) which takes a weighted average of the probabilities of type I and type II errors of the fixed-b asymptotic test.

Keywords: Heteroskedasticity and autocorrelation robust test; Fixed-smoothing asymptotics; Optimal kernel choice; Testing-optimal smoothing-parameter (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:219:y:2020:i:1:p:123-136

DOI: 10.1016/j.jeconom.2020.06.007

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