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20142026
most citedGeneralized Autoregressive Score Models in R: The GAS Package

68 citations · 98 across the 10 of their papers we have counts for

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econ.EM2021

Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings

Federico Belotti, Alessandro Casini, Leopoldo Catania +2

We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usu…