How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions
This 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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- Hirukawa, Masayuki, 2010. "A Two-Stage Plug-In Bandwidth Selection And Its Implementation For Covariance Estimation," Econometric Theory, Cambridge University Press, vol. 26(03), pages 710-743, June.
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- Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009. "Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors," Journal of Econometrics, Elsevier, vol. 149(2), pages 118-135, April.
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- Kenneth D. West & Whitney K. Newey, 1995.
"Automatic Lag Selection in Covariance Matrix Estimation,"
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0144, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, vol. 61(4), pages 631-53, October.
- Park, Joon Y, 1992. "Canonical Cointegrating Regressions," Econometrica, Econometric Society, vol. 60(1), pages 119-43, January.
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