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Search: subject:"Power parameter"
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Consistent HAC estimation
2
long run variance
2
power parameter
2
sharp origin kernel
2
Asymptotic expansion
1
Consistent HAC Estimation
1
Data Determined Kernel Estimation
1
Data determined kernel estimation
1
HAR inference
1
Long Run Variance
1
Long run variance
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Mercer's Theorem
1
Mercer's theorem
1
Mercer?s theorem
1
Power Parameter
1
Power parameter
1
Sharp Origin Kernel
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Sharp origin kernel
1
consistent HAC estimation
1
data determined kernel estimation
1
data-determined kernel estimation
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exact distribution
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large rho asymptotics
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loss function
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Jin, Sainan
4
Sun, Yixiao
4
Phillips, Peter C.B.
3
Phillips, Peter
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Cowles Foundation for Research in Economics, Yale University
2
Econometric Society
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School of Management, Yale University
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Cowles Foundation Discussion Papers
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Econometric Society 2004 North American Winter Meetings
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Yale School of Management Working Papers
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RePEc
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1
Improved HAR Inference
Phillips, Peter C.B.
;
Sun, Yixiao
;
Jin, Sainan
-
Cowles Foundation for Research in Economics, Yale University
-
2005
that are based on untruncated kernel estimates. Large
power
parameter
(rho) asymptotic expansions of the nonstandard limit …
Persistent link: https://www.econbiz.de/10005464005
Saved in:
2
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
and are intended to be used with no truncation (or bandwidth) parameter. As the
power
parameter
(rho) increases, the … bandwidth parameter is replaced by a
power
parameter
that serves to control the degree of downweighting. Simulations show that …
Persistent link: https://www.econbiz.de/10005368997
Saved in:
3
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
Saved in:
4
Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Phillips, Peter C.B.
;
Sun, Yixiao
;
Jin, Sainan
-
Cowles Foundation for Research in Economics, Yale University
-
2003
and are intended to be used with no truncation (or bandwidth) parameter. As the
power
parameter
(rho) increases, the … bandwidth parameter is replaced by a
power
parameter
that serves to control the degree of downweighting. Simulations show that …
Persistent link: https://www.econbiz.de/10005762824
Saved in:
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