Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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Publication:5449870
DOI10.1111/j.0012-9682.2008.00822.xzbMath1132.62073MaRDI QIDQ5449870
Yixiao Sun, Peter C. B. Phillips, Sainan Jin
Publication date: 19 March 2008
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0012-9682.2008.00822.x
asymptotic expansion; loss function; kernel method; long-run variance; nonstandard asymptotics; robust standard error; type I and type II errors; bandwidth choice
62P20: Applications of statistics to economics
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62G20: Asymptotic properties of nonparametric inference
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