Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings (Q6134159)

scientific article; zbMATH DE number 7716499

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English	Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings	scientific article; zbMATH DE number 7716499

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scholarly article

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title

Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings (English)

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25 July 2023

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full work available at URL

https://arxiv.org/abs/2103.00060

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https://figshare.com/articles/journal_contribution/Simultaneous_bandwidths_determination_for_DK-HAC_estimators_and_long-run_variance_estimation_in_nonparametric_settings/22262326

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zbMATH Keywords

HAC standard errors

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long-run variance

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nonstationarity

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outliers

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segmented locally stationary

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MaRDI profile type

MaRDI publication profile

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cites work

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Simple Robust Testing of Regression Hypotheses

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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope

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The Size‐Power Tradeoff in HAR Inference

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A theory of robust long-run variance estimation

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Wavelet thresholding in anisotropic function classes and application to adaptive estimation of evolutionary spectra

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Identifiers

arXiv ID

2103.00060

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DOI

10.1080/07474938.2023.2178138

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6134159