How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions
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Publication:547102
DOI10.1016/j.econlet.2011.02.006zbMath1216.62142OpenAlexW2154538336MaRDI QIDQ547102
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)
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- Canonical Cointegrating Regressions
- Automatic Lag Selection in Covariance Matrix Estimation