AUTOMATIC LAG SELECTION IN COVARIANCE-MATRIX ESTIMATION

被引：1721

作者：

NEWEY, WK ^{[1
]}

WEST, KD ^{[1
]}

机构：

[1] UNIV WISCONSIN,MADISON,WI 53706

来源：

REVIEW OF ECONOMIC STUDIES | 1994年 / 61卷 / 04期

基金：

美国国家科学基金会;

关键词：

D O I：

10.2307/2297912

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：631 / 653

页数：23

共 19 条

[1]

ANDERSON TW, 1971, STATISTICAL ANAL TIM

[2] AN IMPROVED HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE-MATRIX ESTIMATOR [J].