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A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation
http://hdl.handle.net/2261/2706
http://hdl.handle.net/2261/270670e6ef86-c6d2-4fc1-8cf3-0809dac0378a
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-06-03 | |||||
タイトル | ||||||
タイトル | A Two-Stage Plug-In Bandwidth Selection and Its Implementation for Covariance Estimation | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | covariance matrix estimation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | kernel smoothing | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | bandwidth selection | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | asymptotic mean squared error | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | solve-the-equation plug-in | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Numbers: C13, C22, C32 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Hirukawa, Masayuki
× Hirukawa, Masayuki |
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著者所属 | ||||||
著者所属 | Concordia University | |||||
著者所属 | ||||||
著者所属 | CIREQ | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | To improve two existing bandwidth choice rules for kernel HAC estimation by Andrews (1991) and Newey and West (1994), this paper proposes to estimate an unknown quantity in the optimal bandwidth (called the normalized curvature) with a general class of kernels and derives the bandwidth that minimizes the asymptotic mean squared error of this estimator. The theory of the two-stage plug-in bandwidth selection and a reliable implementation method are developed. It is shown that the optimal bandwidth for the kernel-smoothed normalized curvature estimator should diverge at a slower rate than the one for the HAC estimator with the same kernel. Finite sample performances of the new HAC estimator are assessed through Monte Carlo simulations. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-431, 発行日 2006-06 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2006/2006cf431ab.html |