Phillips, Peter C.B.; Choi, Chi-Young; Sul, Donggyu - School of Management, Yale University - 2004
HAC estimation commonly involves the use of prewhitening filters based on simple autoregressive models. In such … applications, small sample bias in the estimation of autoregressive coefficients is transmitted to the recoloring filter, leading ….97) adversely interferes with the power of unit root and KPSS tests. We provide a new boundary condition rule that improves the size …