How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions

DOI10.1016/j.econlet.2011.02.006zbMath1216.62142OpenAlexW2154538336MaRDI QIDQ547102

Masayuki Hirukawa

Publication date: 30 June 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.02.006

zbMATH Keywords

cointegrationkernel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors
• A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION
• Canonical Cointegrating Regressions
• Automatic Lag Selection in Covariance Matrix Estimation