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Is Newey-West optimal among first-order kernels? - MaRDI portal

Is Newey-West optimal among first-order kernels? (Q6199656)

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scientific article; zbMATH DE number 7822340
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Is Newey-West optimal among first-order kernels?
scientific article; zbMATH DE number 7822340

    Statements

    title
    Is Newey-West optimal among first-order kernels? (English)
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    author
    Thomas Kolokotrones
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    James H. Stock
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    Christopher D. Walker
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    publication date
    21 March 2024
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    zbMATH DE Number
    7822340
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    zbMATH Keywords
    heteroskedasticity- and autocorrelation-robust estimation
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    HAR
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    long-run variance estimator
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    kernel
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    cites work
    Q4082810
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    Q3247497
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    Q3323077
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