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  • Search: subject:"Mercer's theorem"
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Year of publication
Subject
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Consistent HAC Estimation 1 Consistent HAC estimation 1 Data Determined Kernel Estimation 1 Long Run Variance 1 Mercer's Theorem 1 Mercer's theorem 1 Power Parameter 1 Sharp Origin Kernel 1 data determined kernel estimation 1 long run variance 1 power parameter 1 sharp origin kernel 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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Hungarian 1 Undetermined 1
Author
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Jin, Sainan 2 Sun, Yixiao 2 Phillips, Peter 1 Phillips, Peter C.B. 1
Institution
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Econometric Society 1 School of Management, Yale University 1
Published in...
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Econometric Society 2004 North American Winter Meetings 1 Yale School of Management Working Papers 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Phillips, Peter C.B.; Jin, Sainan; Sun, Yixiao - School of Management, Yale University - 2004
limit theory for untruncated kernels is provided using a new proof based on Mercer's theorem that allows for kernels which …
Persistent link: https://www.econbiz.de/10005368997
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Cover Image
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Jin, Sainan; Phillips, Peter; Sun, Yixiao - Econometric Society - 2004
A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...
Persistent link: https://www.econbiz.de/10005129812
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