Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - National Bureau of Economic Research - 2024
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very … standard errors ("OLS-HAC regression"). First, in plausible time-series environments, OLS parameter estimates can be … avoided by the use of a simple and easily-implemented dynamic regression procedure, which we call DURBIN. We demonstrate the …