A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests

  title={A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests},
  author={Nicholas Kiefer and Timothy J. Vogelsang},
A new …rst order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a …xed proportion of the sample size. This leads to a distribution theory for HAC robust tests that explicitly captures the choice of bandwidth and kernel. This contrasts with the traditional asymptotics (where the bandwidth increases slower than the sample size) where the… CONTINUE READING
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