Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

DOI10.1111/j.0012-9682.2008.00822.xzbMath1132.62073OpenAlexW3121994487MaRDI 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

zbMATH Keywords

asymptotic expansion loss function kernel method long-run variance nonstandard asymptotics robust standard error type I and type II errors bandwidth choice

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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