How useful is yet another data-driven bandwidth in long-run variance estimation?: A simulation study on cointegrating regressions

Masayuki Hirukawa

Economics Letters, 2011, vol. 111, issue 2, 170-172

Abstract: This paper investigates how bandwidth choice rules in long-run variance estimation affect finite-sample performance of efficient estimators for cointegrating regression models. Monte Carlo results indicate that Hirukawa's (2010) bandwidth choice rule contributes bias reduction in the estimators.

Keywords: Bandwidth; Cointegration; Kernel; Long-run; variance; Simulation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:111:y:2011:i:2:p:170-172

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