Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long...

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long...

This paper proposes a convergent t-statistic for spurious regressions. The new t-statistic is based on the heteroscedasiticity and autocorrelation consistent (HAC) standard error estimate with the bandwidth equal to the sample size. Using autocovariances of all lags, the so-defined HAC estimator...