Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi, and Pierre Perron
| Year of publication: |
2023
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| Authors: | Belotti, Federico ; Casini, Alessandro ; Catania, Leopoldo ; Grassi, Stefano ; Perron, Pierre |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 42.2023, 3, p. 281-306
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| Subject: | HAC standard errors | long-run variance | nonstationarity | outliers | segmented locally stationary | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2023.2178138 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014305507