How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions
AbstractThis paper investigates how bandwidth choice rules in long-run variance estimation affect finite-sample performance of efficient estimators for cointegrating regression models. Monte Carlo results indicate that Hirukawa's (2010) bandwidth choice rule contributes bias reduction in the estimators.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 111 (2011)
Issue (Month): 2 (May)
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Bandwidth Cointegration Kernel Long-run variance Simulation;
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