Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing

This paper considers studentized tests in time series regressions with nonparametrically autocorrelated errors. The studentization is based on robust standard errors with truncation lag M = bT for some constant b âˆˆ (0, 1] and sample size T. It is shown that the nonstandard fixed-b limit distributi...

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書目詳細資料
Main Authors:	SUN, Yixiao, PHILLIPS, Peter C. B., JIN, Sainan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2008
主題:	Asymptotic expansion bandwidth choice kernel method long-run variance loss function nonstandard asymptotics robust standard error Type I and Type II errors Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/61 https://ink.library.smu.edu.sg/context/soe_research/article/1060/viewcontent/HAR_testing_av.pdf
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