Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
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- Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003. "Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation," Cowles Foundation Discussion Papers 1407, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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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- Thieu, Le Quyen, 2016. "Equation by equation estimation of the semi-diagonal BEKK model with covariates," MPRA Paper 75582, University Library of Munich, Germany.
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More about this item
KeywordsConsistent HAC Estimation; Data Determined Kernel Estimation; Long Run Variance; Mercer's Theorem; Power Parameter; Sharp Origin Kernel;
- 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
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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