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The Size-Power Tradeoff in HAR Inference
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The Size-Power Tradeoff in HAR Inference (2019)The Size-Power Tradeoff in HAR InferenceHAR Inference: Recommendations for Practice (2018)HAR Inference: Recommendation…HAC Corrections for Strongly Autocorrelated Time Series (2014)HAC Corrections for Strongly …Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression (2008)Heteroskedasticity-Robust Sta…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…HAC ESTIMATION BY AUTOMATED REGRESSION (2005)HAC ESTIMATION BY AUTOMATED R…LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)LAG Length Selection and the …Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Towards a Unified Asymptotic Theory for Autoregression (1987)An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (1992)Determinants of Bond Risk Premia (2010)Robust Bond Risk Premia (2017)Comparing predictive accuracy in small samples using fixed‐smoothing asymptotics (2020)Time Series Regression with a Unit Root (1987)Testing for cointegration using principal components methods (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)The incidental parameter problem since 1948 (2000)Panel Data Econometrics (2003)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Panel Data Econometrics in R : The plm Package (2008)Happiness is greater in natural environments (2013)Governing the Commons? Water and Power in Pakistan's Indus Basin (2018)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Efficient Tests for an Autoregressive Unit Root (1996)A PANIC Attack on Unit Roots and Cointegration (2004)Energy consumption, income, and carbon emissions in the United States (2006)Economic growth, energy consumption, financial development, international trade and CO2 emissions in Indonesia (2013)MONEY, INCOME, AND CAUSALITY (1972)Generalized autoregressive conditional heteroskedasticity (1986)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Testing for Error Correction in Panel Data* (2007)Dividend yields and expected stock returns (1988)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework (2014)Weak σ -convergence: Theory and applications (2019)Bond Risk Premia with Machine Learning (2018)Asset Pricing with Fading Memory (2021)Local Projection Inference Is Simpler and More Robust Than You Think (2021)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2008Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression609 cited
  • 2018HAR Inference: Recommendations for Practice229 cited
  • 2014HAC Corrections for Strongly Autocorrelated Time Series118 cited
  • 2005HAC ESTIMATION BY AUTOMATED REGRESSION99 cited

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