13 citations · 33 across the 8 of their papers we have counts for
3 papers · 2 filters
Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
Alessandro Casini, Pierre Perron
We introduce a nonparametric nonlinear VAR prewhitened long-run variance (LRV) estimator for the construction of standard errors robust to autocorrelation and heteroskedasticity th…
Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference
Alessandro Casini, Taosong Deng, Pierre Perron
We establish theoretical results about the low frequency contamination (i.e., long memory effects) induced by general nonstationarity for estimates such as the sample autocovarianc…
Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
Federico Belotti, Alessandro Casini, Leopoldo Catania +2
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usu…