Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
Year of publication: |
April 2018
|
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Authors: | Yang, Jingjing ; Vogelsang, Timothy J. |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 165.2018, p. 21-27
|
Subject: | Bias correction | Fixed- asymptotics | HAC estimator | Hypothesis testing | Long run variance | Parzen bias | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Statistischer Test | Statistical test | Zeitreihenanalyse | Time series analysis |
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