How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions

DOI10.1016/J.ECONLET.2011.02.006zbMATH Open1216.62142OpenAlexW2154538336MaRDI QIDQ547102FDOQ547102

Authors: Masayuki Hirukawa 

Publication date: 30 June 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.02.006

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zbMATH Keywords

kernelcointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Cites Work

• Title not available (Why is that?)
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Automatic Lag Selection in Covariance Matrix Estimation
• Canonical Cointegrating Regressions
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• A two-stage plug-in bandwidth selection and its implementation for covariance estimation

Cited In (1)

• Are spectral estimators useful for long-run restrictions in SVARs?

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