Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Chiang, Min-Hsien ; Kao, Chihwa |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | HAC | GMM | Kernel | VARHAC | Prewhitening | Asset Pricing |
| Extent: | text/plain |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 60 |
| Classification: | C14 - Semiparametric and Nonparametric Methods ; G12 - Asset Pricing |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005537650