English, Article, Journal or magazine article edition: A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation Hirukawa Masayuki

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Bookmark: http://trove.nla.gov.au/version/49260
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Author
  • Hirukawa Masayuki
Physical Description
  • preprint
Notes
  • The performance of a kernel HAC estimator depends on the accuracy of the estimation of the normalized curvature, an unknown quantity in the optimal bandwidth represented as the spectral density and its derivative. This paper proposes to estimate it with a general class of kernels. The AMSE of the kernel estimator and the AMSE-optimal bandwidth are derived. It is shown that the optimal bandwidth for the kernel estimator should grow at a much slower rate than the one for the HAC estimator with the same kernel. A solve-the-equation implementation method is also proposed. Finite sample performances are assessed through simulations.
  • Covariance matrix estimation, Kernel estimator, Bandwidth selection, Spectral density, Asymptotic mean squared error
  • RePEc:crd:wpaper:04005
Language
  • English
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