| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0255 |
| 来源ID | Technical Working Paper 0255 |
| Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order | |
| Wouter J. den Haan; Andrew T. Levin | |
| 发表日期 | 2000-06-01 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0255 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565288 |
| 推荐引用方式 GB/T 7714 | Wouter J. den Haan,Andrew T. Levin. Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order. 2000. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0255.pdf（200KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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