A Two-Stage Plug-In Bandwidth Selection And Its Implementation For Covariance Estimation
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- Hirukawa, Masayuki, 2011. "How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions," Economics Letters, Elsevier, vol. 111(2), pages 170-172, May.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- repec:bla:jtsera:v:38:y:2017:i:4:p:591-609 is not listed on IDEAS
- repec:bla:scjsta:v:44:y:2017:i:4:p:866-898 is not listed on IDEAS
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