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Choice of the Kernel Function in Smoothing Moment Restrictions for Dependent Processes
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 Title & Authors
Choice of the Kernel Function in Smoothing Moment Restrictions for Dependent Processes
Lee, Jin;
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 Abstract
We study on selecting the kernel weighting function in smoothing moment conditions for dependent processes. For hypothesis testing in Generalized Method of Moments or Generalized Empirical Likelihood context, we find that smoothing moment conditions by Bartlett kernel delivers smallest size distortions based on empirical Edgeworth expansions of the long-run variance estimator.
 Keywords
Moment conditions;Edgeworth expansions;kernel function;
 Language
English
 Cited by
 References
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