Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗
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Cited by:
- Nigar Hashimzade & Timothy J. Vogelsang, 2008.
"Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 142-162, January.
- Hashimzade, Nigar & Vogelsang, Timothy, 2006. "Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators," Working Papers 06-04, Cornell University, Center for Analytic Economics.
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Keywords
Asymptotic expansion; bandwidth choice; kernel method; long-run variance; loss function; nonstandard asymptotics; robust standard error; Type I and Type II errors;All these keywords.
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