A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Year of publication: |
2004-09
|
---|---|
Authors: | Masayuki, Hirukawa |
Institutions: | Department of Economics, Concordia University |
Subject: | Covariance matrix estimation | Kernel estimator | Bandwidth selection | Spectral density | Asymptotic mean squared error |
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