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

DOI10.1080/07474938.2023.2178138arXiv2103.00060OpenAlexW3135095746MaRDI QIDQ6134159

Pierre Perron, Alessandro Casini, Federico Belotti, Leopoldo Catania, Stefano Grassi

Publication date: 25 July 2023

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

Full work available at URL: https://arxiv.org/abs/2103.00060

zbMATH Keywords

outliersnonstationaritylong-run varianceHAC standard errorssegmented locally stationary

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity

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