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Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainin - 2003

Persistent link: https://www.econbiz.de/10001741372

Consistent HAC estimation and robust regression testing using sharp origin kernels with no truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

Persistent link: https://www.econbiz.de/10001753309

Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - In: International economic review 47 (2006) 3, pp. 837-894

Persistent link: https://www.econbiz.de/10003357487

Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation

Phillips, Peter C. B. (contributor); Sun, Yixiao (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761525

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

Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - 2003

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/10014088395