A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation

13 Aug 2021  ·  Zhihao Xu, Clifford M. Hurvich ·

A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error. This method enables model/tuning parameter selection across both parametric and nonparametric spectral estimators simultaneously. The candidate class for this approach consists of restricted maximum likelihood-based (REML) autoregressive spectral estimators and lag-weights estimators with the Parzen kernel. Additionally, an efficient technique for computing the REML estimators of autoregressive models is provided. Through simulations, the reliability of the FDCV method is demonstrated, comparing favorably with popular HAC estimators such as Andrews-Monahan and Newey-West.

PDF Abstract

Code
Add Remove Mark official

No code implementations yet. Submit your code now

Tasks
Add Remove

Datasets

  Add Datasets introduced or used in this paper

Results from the Paper
Edit

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods
Add Remove

No methods listed for this paper. Add relevant methods here
Contact us on: hello@paperswithcode.com . Papers With Code is a free resource with all data licensed under CC-BY-SA.
Terms Data policy Cookies policy