Improved HAC covariance matrix estimation based on forecast errors

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 99
Issue: 1
Pages: 89-92

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose computing HAC covariance matrix estimators based on one-step-ahead forecasting errors. It is shown that this estimator is consistent and has smaller bias than other HAC estimators. Moreover, the tests that rely on this estimator have more accurate sizes without sacrificing its power.

Technical Details

RePEc Handle
repec:eee:ecolet:v:99:y:2008:i:1:p:89-92
Journal Field
General
Author Count
2
Added to Database
2026-01-25