A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION

DOI10.1017/S0266466609990089zbMath1191.62063MaRDI QIDQ3577699

Masayuki Hirukawa

Publication date: 23 July 2010

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

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Statistical tables (62Q05)

Related Items (5)

A Plug‐in Bandwidth Selection Procedure for Long‐Run Covariance Estimation with Stationary Functional Time Series ⋮ Methods for computing numerical standard errors: review and application to value-at-risk estimation ⋮ Simulation experiments on the performance of structural change tests in cointegration ⋮ How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions ⋮ Functional-coefficient cointegration models in the presence of deterministic trends

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Using non-stochastic terms to advantage in kernel-based estimation of integrated squared density derivatives
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• A Brief Survey of Bandwidth Selection for Density Estimation
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Automatic Block-Length Selection for the Dependent Bootstrap
• Adaptive bandwidth choice

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