This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite-sample optimal tests in the Gaussian...

This paper considers the problem of deriving heteroskedasticity and autocorrelation robust (HAR) inference about a scalar parameter of interest. The main assumption is that there is a known upper bound on the degree of persistence in data. I derive finite‐sample optimal tests in the Gaussian...

This article studies inference of multivariate trend model when the volatility process is nonstationary. Within a quite general framework we analyze four classes of tests based on least squares estimation, one of which is robust to both weak serial correlation and nonstationary volatility. The...