A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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References listed on IDEAS
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More about this item
KeywordsCovariance matrix estimation; Kernel estimator; Bandwidth selection; Spectral density; Asymptotic mean squared error;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-11-22 (All new papers)
- NEP-ECM-2004-11-22 (Econometrics)
- NEP-ETS-2004-11-22 (Econometric Time Series)
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