Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing (Q5449870)

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scientific article; zbMATH DE number 5250776
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Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
scientific article; zbMATH DE number 5250776

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    Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing (English)
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    19 March 2008
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    asymptotic expansion
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    bandwidth choice
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    kernel method
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    long-run variance
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    loss function
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    nonstandard asymptotics
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    robust standard error
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    type I and type II errors
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