This example shows how to change the bandwidth when estimating a HAC coefficient covariance, and compare estimates over varying bandwidths and kernels.

The automatic bandwidth selection is based on an approximation of the estimating functions by either AR(1) or ARMA(1,1) processes. To aggregate the estimated ...

Compute the HAC standard error using bandwidth M = bT and con- struct the ... in (15) and (16) as the bandwidth parameter b -+ 0. These expansions are.

based HAC estimators with weights of the form wℓ = K(ℓ/B) where K(·) is a kernel function and B the bandwidth parameter used. The kernel functions ...

For kernel densities with unit-interval support, the bandwidth parameter, b, is often called the lag-truncation parameter since w(l) = k(l/b) = 0 for lags l > b ...

This is accomplished by con- sidering the limiting behavior of LRV estimators under the as- sumption that the bandwidth is a fixed fraction of the sample size.

4 мар. 2021 г. · We use the plug-in approach to con- struct data-dependent bandwidths for the DK-HAC estimators and compare them with the DK-HAC estimators from ...

A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model

Regarding the bandwidth, consistency of the HAC estimator only requires that the bandwidth increase with the sample size but at a slower rate.

The performance of a kernel HAC estimator depends on the accuracy of the estimation of the normalized curvature, an unknown quantity in the optimal ...