Peking University
Beijing, Beijing 100871
China
Peking University - Guanghua School of Management
SSRN RANKINGS
in Total Papers Citations
Consistent HAC Estimation, Data Determined Kernel Estimation, Long Run Variance, Mercer's Theorem, Power Parameter, Sharp Origin Kernel
KPSS Test, Seasonal Dummies, Stationarity Test, Unit Root
Exponentiated kernel, lag kernel, long run variance, optimal exponent, spectral window, spectrum
Asymptotic expansion, bandwidth choice, kernel method, long-run variance, loss function, nonstandard asymptotics, robust standard error, Type I and Type II errors
Cointegration, HAC estimation, long-run covariance matrix, robust inference, steep origin kernel, fully modified estimation
Asymptotic expansion, HAC estimation, Long run variance, Loss function, Optimal smoothing parameter, Power kernel, Power maximization, Size control, Type I error, Type II error
Asymptotic expansion, consistent HAC estimation, data-determined kernel estimation, exact distribution, HAR inference, large p asymptotics, long run variance, loss function, power parameter, sharp origin kernel.
Brownian motion, Brownian local time, Discrete choices, Integrated processes, Pile-up problem, Threshold parameters.
