Testing-optimal kernel choice in HAR inference
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DOI: 10.1016/j.jeconom.2020.06.007
Abstract: Abstract The paper investigates the optimal kernel choice in heteroskedasticity and autocorrelation robust tests based on the fixed-b asymptotics. In parallel with the optimality of the quadratic spectral kernel under the asymptotic mean squared error… read more here.
Keywords: kernel; choice har; optimal kernel; kernel choice ... See more keywords