How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions

This paper investigates how bandwidth choice rules in long-run variance estimation affect finite-sample performance of efficient estimators for cointegrating regression models. Monte Carlo results indicate that Hirukawa's (2010) bandwidth choice rule contributes bias reduction in the estimators.

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Year of publication:	2011
Authors:	Hirukawa, Masayuki
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 170-172
Publisher:	Elsevier
Keywords:	Bandwidth Cointegration Kernel Long-run variance Simulation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018785