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A Two-Stage Plug-in Bandwidth Selection and Its Implementation for Covariance Estimation
White Paper The two most popular bandwidth choice rules for kernel HAC estimation have been proposed by Andrews (1991) and Newey and West (1994). This paper suggests an alternative approach that estimates an unknown quantity in the... [11 Jul 2008]
Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model
White Paper Therefore, there exists efficiency/bias trade-off when choosing HAC covariance estimation method. A Monte Carlo study is conducted to evaluate the issues of estimating the spectral density functions, e.g.parametric... [11 Jul 2008]
