Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order

Wouter J. den Haan and Andrew Levin ()
Authors registered in the RePEc Author Service: Wouter Denhaan ()

No 255, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2000-06
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: TWP
References: View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.nber.org/papers/t0255.pdf (application/pdf)

Related works:
Working Paper: Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order (2000)
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:nbr:nberte:0255

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/t0255

Access Statistics for this paper

More papers in NBER Technical Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().