The paper shows that conventional HAC estimators are conservative for design-based GMM in finite-history time series and that projection adjustments using predetermined covariates can yield tighter conservative bounds under long-run orthogonality.
The subtracted matrix is positive semidefinite because ΣLP C ⊤(CΣLP C ⊤)−1CΣLP = M ⊤M, where M := (CΣLP C ⊤)−1/2CΣLP
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
econ.EM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Design-Based Inference for Time-Series GMM
The paper shows that conventional HAC estimators are conservative for design-based GMM in finite-history time series and that projection adjustments using predetermined covariates can yield tighter conservative bounds under long-run orthogonality.