Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Choice of the Kernel Function in Smoothing Moment Restrictions for Dependent Processes

  • Lee, Jin (Dept. of Economics, Konkuk Univ.)
  • Published : 2009.01.31
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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.

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References

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