HAC Estimation by Automated Regression
Year of publication: |
2004-07
|
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Authors: | Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic mean squared error | automation | bias | HAC estimation | long run variance | trend regression | trigonometric polynomial |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1158 Published in Econometric Theory (2005), 21(1): 116-147 The price is None Number 1470 24 pages |
Classification: | C22 - Time-Series Models |
Source: |
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