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- W3140008132 abstract "Despite its large sample efficiency, the truncated flat (TF) kernel estimator of long-run covariance matrices is seldom used, because it lacks the guaranteed positive semidefiniteness and sometimes performs poorly in small samples, compared to other familiar kernel estimators. This paper proposes simple modifications to the TF estimator to enforce the positive definiteness without sacrificing the large sample efficiency and make the estimator more reliable in small samples through better utilization of the biasvariance tradeoff. We study the large sample properties of the modified TF estimators and verify their improved small-sample performances by Monte Carlo simulations." @default.
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- W3140008132 date "2008-01-01" @default.
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- W3140008132 title "On Long-Run Covariance Matrix Estimation with the Truncated Flat Kernel" @default.
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