Kiefer, Nicholas M.; Vogelsang, Timothy J. - Center for Analytic Economics, Department of Economics - 2005
A new first order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a fixed proportion of the sample size. This leads to a distribution...