Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing
Year of publication: |
2006-01
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Authors: | Sun, Yixiao ; Phillips, Peter C. B. ; Jin, Sainan |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic expansion | Bandwidth choice | Kernel method | Long-run variance | Loss function | Nonstandard asymptotics | Robust standard error | Type I and Type II errors |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Econometrica (2008), 76(1): 175-194 The price is None Number 1545 51 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
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