ABSTRACT

The classic papers by Newey and West (1987) and Andrews (1991) spurred a large body of work on how to improve heteroscedasticity- and autocorrelation-robust (HAR) inference in time series regression. This literature finds that using a larger-than-usual truncation parameter to estimate the long-run variance, combined with Kiefer-Vogelsang (2002, 2005) fixed-b critical values, can substantially reduce size distortions, at only a modest cost in (size-adjusted) power. Empirical practice, however, has not kept up. This article therefore draws on the post-Newey West/Andrews literature to make concrete recommendations for HAR inference. We derive truncation parameter rules that choose a point on the size-power tradeoff to minimize a loss function. If Newey-West tests are used, we recommend the truncation parameter rule S = 1.3T^1/2 and (nonstandard) fixed-b critical values. For tests of a single restriction, we find advantages to using the equal-weighted cosine (EWC) test, where the long run variance is estimated by projections onto Type II cosines, using ν = 0.4T^2/3 cosine terms; for this test, fixed-b critical values are, conveniently, t_ν or F. We assess these rules using first an ARMA/GARCH Monte Carlo design, then a dynamic factor model design estimated using a 207 quarterly U.S. macroeconomic time series.

摘要

Newey和West（1987）和Andrews（1991）的经典论文激起了关于如何改进时间序列回归中的异方差和自相关稳健性（HAR）推断的大量工作。此文献认定，使用比通常较大截断参数来估计长期方差，与基弗-的Vogelsang（2002，2005）定点合并b临界值可以大大减少尺寸失真，而功耗（尺寸调整后）仅需适度的成本。然而，经验实践并没有跟上。因此，本文借鉴了Newey West / Andrews后的文献，为HAR推理提供了具体建议。我们得出截断参数规则，该规则选择大小-功率折衷上的一点以最小化损失函数。如果使用Newey-West测试，我们建议使用截断参数规则S = 1.3 T ^1/2和（非标准）固定b临界值。对于单个限制的测试，我们发现使用等加权余弦（EWC）检验的优势，其中使用ν= 0.4 T ^2/3通过对II型余弦的投影来估算长期方差余弦项 此测试，固定b临界值，方便地，吨_ν或˚F。我们首先使用ARMA / GARCH蒙特卡罗设计评估这些规则，然后使用美国207个季度的美国宏观经济时间序列估算动态因素模型设计。