OPTIMAL BANDWIDTH SELECTION FOR ROBUST GENERALIZED METHOD OF MOMENTS ESTIMATION

DOI10.1017/S026646661400067XzbMath1441.62904OpenAlexW2279247045MaRDI QIDQ3453249

Daniel Wilhelm

Publication date: 20 November 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661400067x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (4)

Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework

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