"Comment on "HAR Inference
Recommendations for Practice
Bibliographic Data
| ID | 19418256 |
|---|---|
| Authors | Timothy J Vogelsang (0000-0002-8491-6715, Departments of Economics, Michigan State University, East Lansing, MI 48824-1038 ( ), corresponding author) |
| Year | 2018 |
| Volume | 36 |
| Issue | 4 |
| Pages | 569-573 |
| Publication date | 2018-10-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2018.1497503 |
| OpenAlex | W2898748918 |
| Language | EN |
| Citations received | 1 |
| References cited | 9 |
Inference robust to variance and covariance features of the data has become the standard practice in empirical economics. Robust inference in the presence of heteroscedasticity is straightforward a
Econometrics · Economics · Inference · Statistics · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Monetary Policy and Economic Impact · Statistical Methods and Inference · Artificial Intelligence
Automatic Lag Selection in Covariance Matrix Estimation
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
| Unique citing works | 1 |
|---|---|
| Citations per year | 1 |
| Citation span | 2026 - 2026 (1) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 1 |