Is Newey–West optimal among first-order kernels?
Thomas Kolokotrones, James H. Stock, Christopher D. Walker
Topics & Concepts
MathematicsEstimatorKernel (algebra)Order (exchange)StatisticsSmoothingHeteroscedasticityApplied mathematicsKernel density estimationCombinatoricsEconomicsFinanceStatistical Methods and InferenceAdvanced Statistical Methods and ModelsMonetary Policy and Economic Impact