Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 60.
Date of creation: 01 Jul 2002
Date of revision:
HAC; GMM; Kernel; VARHAC; Prewhitening; Asset Pricing;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-28 (All new papers)
- NEP-CFN-2003-10-28 (Corporate Finance)
- NEP-ECM-2003-10-28 (Econometrics)
- NEP-ETS-2003-10-28 (Econometric Time Series)
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