Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2003
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...