Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024
when transferring the HC technology to time series environments via heteroskedasticity and autocorrelation consistent … inconsistent, so that OLS-HAC inference fails even asymptotically. Second, most economic time series have autocorrelation, which … renders OLS parameter estimates inefficient. Third, autocorrelation similarly renders conditional predictions based on OLS …