Long Run Variance Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
A new family of kernels is suggested for use in 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 bandwidth) parameter. As the power parameter ([rho]) increases, the...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/318 https://ink.library.smu.edu.sg/context/soe_research/article/1317/viewcontent/LongRunVarianceEstimation_sharpOriginKernels_2007.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |