Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings
DK-HAC 估计的联合带宽选择与非参数情形下的长期方差估计
We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usual smoothing over lagged autocovariances for classical HAC estimators, the DK-HAC estimator also applies smoothing over the time direction. We obtain the optimal bandwidths that jointly minimize the global asymptotic MSE criterion and discuss the trade-off between bias and variance with respect to…