HAR Inference: Recommendations for Practice

Keyphrases

• Adjusted Power 33%
• ARMA-GARCH 33%
• Autocorrelation 100%
• Classic Papers 33%
• Cosine 100%
• Dynamic Factor Model 33%
• Empirical Practices 33%
• Fixed-b 100%
• Heteroscedasticity 100%
• Keep up 33%
• Long-run Variance 66%
• Loss Function 33%
• Macroeconomic Time Series 33%
• Model Design 33%
• Monte Carlo 33%
• Recommendations for Practice 100%
• Robust Inference 100%
• Size Distortion 33%
• Size Reduction 33%
• Time Series Regression 33%
• Truncation Parameter 100%

Mathematics

• Autocorrelation 100%
• Cosine 100%
• Factor Dynamic 33%
• Heteroscedasticity 100%
• Loss Function 33%
• Minimizes 33%
• Model Design 33%
• Monte Carlo 33%
• Truncation 100%
• Variance 66%

Economics, Econometrics and Finance

• Factor Model 50%
• Generalized Autoregressive Conditional Heteroskedasticity 50%
• Macroeconomics 50%
• Time Series 100%