Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
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- Sainan Jin & Peter Phillips & Yixiao Sun, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Econometric Society 2004 North American Winter Meetings 299, Econometric Society.
- Peter C.B. Phillips & Sainan Jin & Yixiao Sun, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Yale School of Management Working Papers ysm347, Yale School of Management.
- Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan, 2004. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," University of California at San Diego, Economics Working Paper Series qt6d36x00z, Department of Economics, UC San Diego.
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- Thieu, Le Quyen, 2016. "Variance targeting estimation of the BEKK-X model," MPRA Paper 75572, University Library of Munich, Germany.
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"Automatic Positive Semidefinite Hac Covariance Matrix And Gmm Estimation,"
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- João Valle e Azevedo, 2011. "Rational vs. professional forecasts," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
- Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
More about this item
KeywordsConsistent HAC estimation; Data determined kernel estimation; Long run variance; Mercer?s theorem; Power parameter; Sharp origin kernel;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-03-25 (All new papers)
- NEP-ECM-2003-03-25 (Econometrics)
- NEP-ETS-2003-03-25 (Econometric Time Series)
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