Heteroskedasticity and autocorrelation consistent (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 recolouring filter, leading...

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N\rightarrow\infty. The results extend earlier work by Nickell (1981) in several directions that are relevant for practical work, including models with unit roots, deterministic...

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 to HAC variance estimates that can be badly biased....