Is Newey-West optimal among first-order kernels? (Q6199656)
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scientific article; zbMATH DE number 7822340
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Is Newey-West optimal among first-order kernels? |
scientific article; zbMATH DE number 7822340 |
Statements
Is Newey-West optimal among first-order kernels? (English)
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21 March 2024
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heteroskedasticity- and autocorrelation-robust estimation
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HAR
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long-run variance estimator
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kernel
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