| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0144 |
| 来源ID | Technical Working Paper 0144 |
| Automatic Lag Selection in Covariance Matrix Estimation | |
| Kenneth D. West; Whitney K. Newey | |
| 发表日期 | 1995-02-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0144 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562429 |
| 推荐引用方式 GB/T 7714 | Kenneth D. West,Whitney K. Newey. Automatic Lag Selection in Covariance Matrix Estimation. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0144.pdf（1280KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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