How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions
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- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
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Keywords
Bandwidth Cointegration Kernel Long-run variance Simulation;Statistics
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