Improved HAC covariance matrix estimation based on forecast errors
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.
Year of publication: |
2008
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Authors: | Kuan, Chung-Ming ; Hsieh, Yu-Wei |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 99.2008, 1, p. 89-92
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Publisher: |
Elsevier |
Saved in:
Online Resource
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