Optimal HAR inference
This paper addresses the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference for a scalar parameter of interest, under the assumption of a known upper bound on data persistence. Finite-sample optimal tests are derived within the Gaussian location model, revealing that r...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2024
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2787 https://ink.library.smu.edu.sg/context/soe_research/article/3786/viewcontent/harinf.pdf |
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| Institution: | Singapore Management University |
| Language: | English |