Phillips, Peter C.B.; Jin, Sainan; Sun, Yixiao - School of Management, Yale University - 2004
A new class of kernel estimates is proposed for long run variance (LRV) and heteroskedastic autocorrelation consistent (HAC) estimation. The kernels are called steep origin kernels and are related to a class of sharp origin kernels explored by the authors (2003) in other work. They are...