Search Results - subject:"Asymptotic mean squared error"

Prediction from the regression model with two‐way error components

Kouassi, Eugene; Sango, Joel; Brou, J. M. Bosson; … - In: Journal of Forecasting 30 (2011) 6, pp. 541-564

Persistent link: https://www.econbiz.de/10010990713

A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Masayuki, Hirukawa - Department of Economics, Concordia University - 2004

The performance of a kernel HAC estimator depends on the accuracy of the estimation of the normalized curvature, an unknown quantity in the optimal bandwidth represented as the spectral density and its derivative. This paper proposes to estimate it with a general class of kernels. The AMSE of...

Persistent link: https://www.econbiz.de/10004968083

HAC Estimation by Automated Regression

Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

asymptotic mean squared error is derived. The limit theory of the new estimator shows that its properties, including the …

Persistent link: https://www.econbiz.de/10005593628