Theory of low frequency contamination from nonstationarity and misspecification: consequences for HAR inference

Casini, AlessandroDeng, TaosongPerron, Pierre2023-05-022023-05-022023A. Casini, T. Deng, P. Perron. 2023. "Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference" Econometric Theory.0266-4666https://hdl.handle.net/2144/46138en-USStatisticsEconometricsTheory of low frequency contamination from nonstationarity and misspecification: consequences for HAR inferenceArticle2023-02-0310.48550/arXiv.2103.01604791826