Theory of low frequency contamination from nonstationarity and misspecification: consequences for HAR inference
Files
First author draft
Date
2023
Authors
Casini, Alessandro
Deng, Taosong
Perron, Pierre
Version
First author draft
OA Version
Citation
A. Casini, T. Deng, P. Perron. 2023. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference" Econometric Theory.