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HAR Inference: Recommendations for Practice
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited

Cited by

  • 2021Asset Pricing with Fading Memory201 cited
  • 2019Duration-Driven Returns126 cited
  • 2019The Term Structure of Currency Carry Trade Risk Premia122 cited
  • 2021Learning About the Long Run110 cited
  • 2020FRED-QD: A Quarterly Database for Macroeconomic Research107 cited
  • 2024Local projections vs. VARs: Lessons from thousands of DGPs104 cited
  • 2023A Quantity-Driven Theory of Term Premia and Exchange Rates94 cited
  • 2020Policy Language and Information Effects in the Early Days of Federal Reserve Forward Guidance93 cited
  • 2020U.S. Economic Activity During the Early Weeks of the SARS-Cov-2 Outbreak85 cited
  • 2023Dynamics of subjective risk premia73 cited
  • 2021Biases in long-horizon predictive regressions57 cited
  • 2020FRED-QD: A Quarterly Database for Macroeconomic Research55 cited
  • 2020Media Sentiment on Monetary Policy: Determinants and Relevance for Inflation Expectations53 cited

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  • 2024Bias in local projections51 cited
  • 2020Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics51 cited
  • 2020Tail risk and return predictability for the Japanese equity market46 cited