Phillips, Peter C. B.; Sun, Yixiao; Jin, Sainan - In: International Economic Review 47 (2006) 3, pp. 837-894
A new class of kernels for long-run variance and spectral density estimation is developed by exponentiating traditional quadratic kernels. Depending on whether the exponent parameter is allowed to grow with the sample size, we establish different asymptotic approximations to the sampling...