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Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity. (2021). Perron, Pierre ; Casini, Alessandro.
In: Papers.
RePEc:arx:papers:2103.02235.

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  1. The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity. (2024). Casini, Alessandro.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:238:y:2024:i:2:s030440762300341x.

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  2. Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:372-392.

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  3. Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”. (2022). Casini, Alessandro.
    In: Econometrica.
    RePEc:wly:emetrp:v:90:y:2022:i:4:p:1-2.

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  4. Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”. (2022). Casini, Alessandro.
    In: CEIS Research Paper.
    RePEc:rtv:ceisrp:536.

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  5. Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings. (2021). Perron, Pierre ; Grassi, Stefano ; Catania, Leopoldo ; Casini, Alessandro ; Belotti, Federico.
    In: Papers.
    RePEc:arx:papers:2103.00060.

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  60. We now move to part (iii). The estimator b JT,pw is actually a double kernel HAC estimator constructed using observations {b VD,s}, where the latter is SLS. Thus, using Theorem 3.2 and 5.1 in Casini (2021) and Assumption 3.7, we deduce that lim T→∞ MSE Tbθ1,T bθ2,T , b Jpw,T , JT , WT = lim T→∞ MSE Tbθ1,T bθ2,T , J∗ T,D, JT , WT
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  47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
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  48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
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  49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
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  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

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