Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

Min-Hsien Chiang and Chihwa Kao

No 60, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: HAC; GMM; Kernel; VARHAC; Prewhitening; Asset Pricing (search for similar items in EconPapers)
JEL-codes: C14 G12 (search for similar items in EconPapers)
Date: 2002-07-01
New Economics Papers: this item is included in nep-cfn, nep-ecm and nep-ets
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Journal Article: Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Model (2005)
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