Is Newey-West optimal among first-order kernels?
Thomas Kolokotrones, James H. Stock, Christopher D. Walker
| Year of publication: |
2024
|
|---|---|
| Authors: | Kolokotrones, Thomas ; Stock, James H. ; Walker, Christopher D. |
| Subject: | HAR | Heteroskedasticity- and autocorrelation-robust estimation | Kernel | Long-run variance estimator |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.12.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075094