Long Run Variance Estimation Using Steep Origin Kernels without Truncation
Year of publication: |
2003-09
|
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Authors: | Phillips, Peter C.B. ; Sun, Yixiao ; Jin, Sainan |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Exponentiated kernel | Lag kernel | Long run variance | Optimal exponent | Spectral window | Spectrum |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1178 Published in Journal of Statistical Planning and Inference (2007), 137: 985-1023 The price is None Number 1437 47 pages |
Classification: | C22 - Time-Series Models |
Source: |
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Long Run Variance Estimation Using Steep Origin Kernels Without Truncation
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