HAR Inference: Recommendations for Practice

Asymptotic F and t tests in an efficient GMM setting

(2017) Jungbin Hwang et al.   JOURNAL OF ECONOMETRICS

Fixed-Smoothing Asymptotics in a Two-Step Generalized Method of Moments Framework

(2014) Yixiao Sun   ECONOMETRICA

HAC Corrections for Strongly Autocorrelated Time Series

(2014) Ulrich K. Müller   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Let’s fix it: Fixed- asymptotics versus small- asymptotics in heteroskedasticity and autocorrelation robust inference

(2013) Yixiao Sun   JOURNAL OF ECONOMETRICS

A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator

(2012) Yixiao Sun   Econometrics Journal

HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

(2011) Dimitris N. Politis   ECONOMETRIC THEORY

t-Statistic Based Correlation and Heterogeneity Robust Inference

(2009) Rustam Ibragimov et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

(2008) Yixiao Sun et al.   ECONOMETRICA