How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions (Q547102): Difference between revisions

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English	How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions	scientific article

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scholarly article

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title

How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions (English)

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zbMATH Open document ID

1216.62142

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DOI

10.1016/j.econlet.2011.02.006

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30 June 2011

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Mathematics Subject Classification ID

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cointegration

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kernel

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.econlet.2011.02.006

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OpenAlex ID

W2154538336

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cites work

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION

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Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors

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Automatic Lag Selection in Covariance Matrix Estimation

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Canonical Cointegrating Regressions

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Statistical Inference in Instrumental Variables Regression with I(1) Processes

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Q4272483

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Sitelinks

Mathematics(1 entry)

mardi Publication:547102

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
+Normal rank
@@ Property / cites work @@
+Automatic Lag Selection in Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Canonical Cointegrating Regressions
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@@ Property / cites work @@
+Statistical Inference in Instrumental Variables Regression with I(1) Processes
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+Q4272483
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+Publication:547102