HAR testing for spurious regression in trend

HAR testing for spurious regression in trend

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests in t...

Full description

Saved in:
Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., WANG, Xiaohu, ZHANG, Yonghui
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
HAR inference
Karhunen-Loeve representation
spurious regression
t-statistics
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2351
https://ink.library.smu.edu.sg/context/soe_research/article/3350/viewcontent/econometrics_07_00050_pv_oa.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2351
https://ink.library.smu.edu.sg/context/soe_research/article/3350/viewcontent/econometrics_07_00050_pv_oa.pdf

Similar Items