Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

Journal of Statistical Planning and Inference

Volumn 137, Issue 3, 2007, Pages 985-1023

  Phillips, Peter C B ^a,b,c   Sun, Yixiao ^d   Jin, Sainan ^e  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

^d UNIVERSITY OF CALIFORNIA   (United States)

^e Peking University   (China)

Author keywords

Data determined kernel estimation; Heteroscedasticity and autocorrelation consistent standard error; Long run variance; Power parameter; Sharp origin kernel

Indexed keywords

EID: 33750533216     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2006.06.033     Document Type: Article

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