How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions

被引：2
|
作者：
Hirukawa, Masayuki [1 ]
机构：
[1] Setsunan Univ, Fac Econ, Osaka 5728508, Japan
来源：
ECONOMICS LETTERS | 2011年 / 111卷 / 02期
关键词：
Bandwidth; Cointegration; Kernel; Long-run variance; Simulation; COVARIANCE-MATRIX ESTIMATION; SELECTION;
D O I：
10.1016/j.econlet.2011.02.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates how bandwidth choice rules in long-run variance estimation affect finite-sample performance of efficient estimators for cointegrating regression models. Monte Carlo results indicate that Hirukawa's (2010) bandwidth choice rule contributes bias reduction in the estimators. (C) 2011 Elsevier B.V. All rights reserved.
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页码：170 / 172
页数：3
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