Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
✍ Scribed by Yixiao Sun; Peter C. B. Phillips; Sainan Jin
- Book ID
- 110726143
- Publisher
- John Wiley and Sons
- Year
- 2008
- Tongue
- English
- Weight
- 195 KB
- Volume
- 76
- Category
- Article
- ISSN
- 0012-9682
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## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t