TY  - JOUR
AU  - Haan,Wouter J. den
AU  - Levin,Andrew T.
TI  - Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 255
PY  - 2000
Y2  - June 2000
UR  - http://www.nber.org/papers/t0255
L1  - http://www.nber.org/papers/t0255.pdf
N1  - Author contact info:
Wouter J. den Haan
Department of Economics
University of Amsterdam
Roetersstraat
1017 RS  Amsterdam
Netherlands
Tel: +31(0)205255237
E-Mail: wdenhaan@uva.nl

Andrew T.. Levin
Federal Reserve Board
Mail Stop 77
20th and C Street, NW
Washington, DC   20551
Tel: 202-452-3541
Fax: 202-452-2301
E-Mail: andrew.levin@frb.gov
AB  - This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator.
ER  -