Chiang, Min-Hsien; Kao, Chihwa - In: Economics Bulletin 3 (2005) 10, pp. 1-13
This paper investigates the performances of GMM estimates using kernel methods with and without prewhitening and the VARHAC method in a representative agent exchange economy. A Monte Carlo study is conducted to evaluate the issues of estimating the spectral density functions, e.g., parametric...
