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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |