Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models



dsso| wkh vdph rughu vhohfwlrq fulwhulrq wr erwk wkh YDU+p, prgho iru suhzklwhqlqj dqg
Wkh xqiyduidWh iDU+pa)}‰ 1 PrghOv iru fkrrsiqj Wkh ])lι∣jin edqgzigWk ru Wkh fiqhvW vfdOhi
Wkhvh duh ghqrwhg dv SZ0TV+D, dqg SZ0TV+E, uhvshfwlyho|1

Lq rughu Wr vWxg| Wkh srWhqWldo khWhurjhqhlW| lq Wkh vhuldo fruuhodWlrq dfurvv Wkh furvv0
vhfWlrqdo xqlWv ri Wkh vhuldo fruuhodWlrq lq sdqho gdWd iru hdfk fdvh zh vWxg| Wkh iroorzlqj
yh vxefdvhv=

DUPD+7/7) DoWhuqdWlyhv=

' DUPD+7∕7)a g

DUPD+7/7)6 g

DUPD+7∕7)c g
<

DUPD+7∕7)d g

DUPD+7∕7)e g


Vit  '

—Pyit-n + %it + P%it-⅛>

l ‘ • > = ==>q.

Vit  '

Pyit-n + %n — p%it-4>

l ‘ • > = ==>q>

Vit  '

— — PVit-n + %it + P%it-4,
[ %it>

l ‘ • > = ==>

l ‘ + + I > =

n

2 >

==.q

Vit  '

P PvH-n + %it — P%it-i,
[ %H>

l ‘• >===>ι

l ‘ + + •

>         2 l ɪ > = = = >

.

q.

Vit  '

— — Pyit-n + %it + P%it-4,
[ Pyit-1 + %it — P%it-4>

l ‘ • > = ==>

l ‘ n + i > =

n

2 >

==.q


+:19)


Zh hvWlpdWh e| Wkh zlWklq hvWlpdWru e= Zh h{dplqh Wkh ydulrxv hvWlpdWruv iru Wkh
dv|psWrWlf yduldqfh ri e= Zh h{dplqh Wkhlu eldvhv/ yduldqfhv dqg PVHv1

Zh dovr h{dplqh Wkh vl}h ri Wkh w0WhvW ri

Kq g β ‘ f v.s.    Ka g β ' δ>

Wkh WhvW lv frqvWuxfWhg xvlqj Wkh zlWklq hvWlpdWru e dqg Wkh ydulrxv fryduldqfh hvWlpdWruv1

Wdeoh 4 uhsruWv Wkh eldv/ vduldqfh/ PVH/ dqg Wkh vl}h ri Wkh w WhvW xqghu DUPD +4/4)
iru Eq> W ' E2D> 2 zlWk 'Ef=f> f=e> f=H= Wkh YDUKDF+D) kdv Wkh vpdoohvW grzqzdug
eldv/ Wkhq iroorzhg e| TV+E)/ TV+D)/ dqg QZ. Dv irxqg lq suhvlrxv vWxglhv lq Wlph vhulhv/
Wkh suhzklWhqlqj hvWlpdWruv ri SZ0QZ+D)/ SZ0QZ+E)/ SZ0TV+D)/ dqg SZ0TV+E) kdvh
odujhu PVHv Wkdq qrq0suhzlWkhqlqj phWkrgv. Lq jhqhudo/ TV phWkrgv kdvh vpdoohu eldvhv
Wkdq Wkhlu QZ frxqWhusduWv. Iru Wkh vl}h ri WhvWv/ YDUKDF+D) jdlqv d ehWWhu vl}h Wkdq uhvWv
ri phWkrgv exW kdv d odujhvW vduldqfh. Dovr/ TV phWkrgv kdvh jrrg vl}hv lq frqWudvW Wr QZ
frxqWhusduWv. Wkh suhzklWhqlqj phWkrgv/ krzhvhu/ kdvh uhodWlvho| zruvh vl}hv Wkdq qrq0
suhzklWhqlqj phWkrgv. Rq Wkh rWkhu kdqg/ eldvhv ri doo phWkrgv uhgxfh zkhq Wkh udqgrp
hhfW lqfuhdvhv. Wklv fdq eh revhuvhg WkdW PVHv iru doo phWkrgv Whqg Wr eh vpdoohu lq
fruuhvsrqghqfh Wr ghfuhdvh ri . Wkh vl}hv ri WhvWv vkrz qr vljqv ri lpsurvhphqWv hvhq
Wkrxjk PVHv ghfuhdvh. Wdeohv 5 dqg 6 vkduh Wkh vlplodu revhuvdWlrqv dv irxqg lq Wdeoh 4.
Wkh eldvhv dqg PVHv/ krzhvhu/ Whqg Wr ehfrph odujhu zkhq Wkh glphqvlrq ri frpelqdWlrq

43



More intriguing information

1. ENERGY-RELATED INPUT DEMAND BY CROP PRODUCERS
2. THE USE OF EXTRANEOUS INFORMATION IN THE DEVELOPMENT OF A POLICY SIMULATION MODEL
3. Backpropagation Artificial Neural Network To Detect Hyperthermic Seizures In Rats
4. Multifunctionality of Agriculture: An Inquiry Into the Complementarity Between Landscape Preservation and Food Security
5. Outsourcing, Complementary Innovations and Growth
6. Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models
7. Why Managers Hold Shares of Their Firms: An Empirical Analysis
8. An Interview with Thomas J. Sargent
9. Detecting Multiple Breaks in Financial Market Volatility Dynamics
10. Structural Breakpoints in Volatility in International Markets