HAC estimation by automated regression

Econometric Theory

Volumn 21, Issue 1, 2005, Pages 116-142

  Phillips, Peter C B ^a,b,c  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 15744396740     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466605050085     Document Type: Article

References (17)

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2. Andrews, D.W.K. & J.C. Monahan (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953-966.
3. Den Haan, W.J. & A. Levin (1997) A practitioner's guide to robust covariance matrix estimation. In G.S. Maddala & C.R. Rao (eds.), Handbook of Statistics, vol. 15, pp. 299-342. Elsevier.
4. Grenander, U. & M. Rosenblatt (1957) Statistical Analysis of Stationary Time Series. Wiley.
5. Hannan, E.J. (1970) Multiple Time Series. Wiley.
6. Lee, J.S. (1996) On the power of stationary tests using optimal bandwidth estimates. Economics Letters 51, 131-137.
7. Lee, C.C. & P.C.B. Phillips (1994) An ARMA Prewhitened Long-Run Variance Estimator. Manuscript, Yale University.
8. Newey, W.K. & K.D. West (1987) A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
9. Newey, W.K. & K.D. West (1994) Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631-653.
10. Phillips, P.C.B. (1996) Spurious Regression Unmasked. Cowles Foundation Discussion paper 1135, Yale University.
11. Phillips, P.C.B. (1998) New tools for understanding spurious regressions. Econometrica 66, 1299-1326.
12. Phillips, P.C.B. (1999) Unit Root Log Periodogram Regression. Cowles Foundation paper 1244, Yale University.
13. Phillips, P.C.B. (2004) Challenges of Trending Time Series Econometrics. Mimeo, Yale University.
14. Phillips, P.C.B. & V. Solo (1992) Asymptotics for linear processes. Annals of Statistics 20, 971-1001.
15. Phillips, P.C.B., Y. Sun, & S. Jin (2003) Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation. Cowles Foundation Discussion paper 1407, Yale University.
16. Priestley, M.B. (1981) Spectral Analysis and Time Series, vol. I. Academic Press.
17. Sul, D., P.C.B. Phillips, & C.-Y. Choi (2003) Prewhitening Bias in HAC Estimation. Mimeo, Yale University.