کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1150677 957971 2007 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
چکیده انگلیسی
If ρ is passed to infinity with the sample size (T), the new kernels provide consistent LRV estimates. Within this new framework, untruncated kernel estimation can be regarded as a form of conventional kernel estimation in which the usual bandwidth parameter is replaced by a power parameter that serves to control the degree of downweighting. A data-driven method for selecting the power parameter is recommended for hypothesis testing. Simulations show that this method gives arise to a test with more accurate size than the conventional HAC t-test at the cost of a very small power loss.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 137, Issue 3, 1 March 2007, Pages 985-1023
نویسندگان
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