Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing (Q5449870)
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scientific article; zbMATH DE number 5250776
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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