Prewhitening Bias in HAC Estimation

Donggyu Sul (), Peter Phillips and Chi-Young Choi

No 141, Working Papers from Department of Economics, The University of Auckland

Abstract: Later version now published as a Journal Article: Oxford Bulletin of Economics & Statistics 67 (4), 517-546. doi: 10.1111/j.1468-0084.2005.00130.x

Keywords: Economics (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Prewhitening Bias in HAC Estimation (2005)
Working Paper: Prewhitening Bias in HAC Estimation (2004)
Working Paper: Prewhitening Bias in HAC Estimation (2003)
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