Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Department of Economics, University of California-San … - 2004
Sharp origin kernels, constructed by taking powers of the Bartlett kernel, are suggested for use in heteroskedasticity and autocorrelation consistent (HAC) estimation with no truncation (or bandwidth) parameter. When the power parameter (rho) is fixed, analysis and simulations indicate that...