Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
Year of publication: |
2005-10-01
|
---|---|
Authors: | Sun, Yixiao X ; Phillips, Peter C. B. ; Jin, Sainan |
Institutions: | Department of Economics, University of California-San Diego (UCSD) |
Subject: | Asymptotic expansion | bandwidth choice | kernel method | long-run variance | loss function | nonstandard asymptotics | robust standard error | Type I and Type II errors |
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