Search Results - subject:"sharp origin kernel"

Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005

Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...

Persistent link: https://www.econbiz.de/10005464005

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

of the consistent sharp origin kernel is obtained which is easily implementable in practical work. Within this new … in regression testing with the sharp origin kernel, the power properties are better than those with simple untruncated … sharp origin kernel produces favorable results for both size and power in regression testing with sample sizes that are …

Persistent link: https://www.econbiz.de/10005368997

Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation

Jin, Sainan; Phillips, Peter; Sun, Yixiao - Econometric Society - 2004

practice a simple fixed choice of the exponent parameter around rho=16 for the sharp origin kernel produces favorable results … origin kernel, the power properties are better than those with simple untruncated kernels (where rho =1) and at least as good … LRV estimates as well as continued robust regression testing. Simulations show that in regression testing with the sharp …

Persistent link: https://www.econbiz.de/10005129812

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

Persistent link: https://www.econbiz.de/10005762824