Optimal Bandwidth Choice for Interval Estimation in GMM Regression
Year of publication: |
2008-05
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Authors: | Sun, Yixiao ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic expansion | Bias | Confidence interval | Coverage probability | Edgeworth expansion | Lag kernel | Long run variance | Optimal bandwidth | Spectrum |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The price is None Number 1661 93 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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Phillips, Peter C.B., (2005)
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Sun, Yixiao, (2010)
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Phillips, Peter C.B., (2004)
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Phillips, Peter C.B., (2005)
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Long Run Variance Estimation Using Steep Origin Kernels without Truncation
Phillips, Peter C.B., (2003)
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Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes
Sun, Yixiao, (2002)
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