Testing-optimal kernel choice in HAR inference

Yixiao Sun

doi:10.1016/j.jeconom.2020.06.007

2020-11-01

Yixiao Sun *

Jingjing Yang

DOI：10.1016/j.jeconom.2020.06.007

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摘要

En 中文

Keyword:

Heteroskedasticity and autocorrelation robust test

Fixed-smoothing asymptotics

Optimal kernel choice

Testing-optimal smoothing-parameter

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Journal of Econometrics

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5.3K

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University of California System

学者数:

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论文数: 33.8W

被引数: 6.6K

University of California San Diego

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被引数: 924

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