Simultaneous bandwidths determiniation for DK-HAC estimators and long-run variance estimation in nonparametric settings

Belotti, FedericoCasini, AlessandroCatania, LeopoldoGrassi, StefanoPerron, Pierre2023-05-022023-05-022023F. Belotti, A. Casini, L. Catania, S. Grassi, P. Perron. 2023. "Simultaneous Bandwidths Determiniation for DK-HAC Estimators and Long-run Variance Estimation in Nonparametric Settings" Econometric Reviews, Volume 42, Issue 3, pp.281-306. https://doi.org/10.1080/07474938.2023.21781380747-49381532-4168https://hdl.handle.net/2144/46135p. 281-306en-USHAC standard errorsLong-run varianceNonstationarityOutliersSegmented locally stationaryEconometricsSimultaneous bandwidths determiniation for DK-HAC estimators and long-run variance estimation in nonparametric settingsArticle2023-02-0310.1080/07474938.2023.2178138791796