{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,5]],"date-time":"2025-10-05T04:32:09Z","timestamp":1759638729385},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2002,5,17]],"date-time":"2002-05-17T00:00:00Z","timestamp":1021593600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,8]]},"abstract":"<jats:p>This paper examines several practical issues regarding the \nimplementation of the Phillips and Hansen fully modified least \nsquares (FMLS) method for the estimation of a cointegrating \nvector. Various versions of this method arise by selecting between \nstandard and prewhitened kernel estimation and between parametric \nand nonparametric automatic bandwidth estimators and also among \nalternative kernels. A Monte Carlo study is conducted to \ninvestigate the finite-sample properties of the alternative \nversions of the FMLS procedure. The results suggest that the \nprewhitened kernel estimator of Andrews and Monahan (1992, \n<jats:italic>Econometrica<\/jats:italic> 60, 953\u2013966) in which the bandwidth \nparameter is selected via the nonparametric procedure of Newey \nand West (1994, <jats:italic>Review of Economic Studies<\/jats:italic> 61, \n631\u2013653) minimizes the second-order asymptotic bias effects.<\/jats:p>","DOI":"10.1017\/s0266466602184076","type":"journal-article","created":{"date-parts":[[2002,11,14]],"date-time":"2002-11-14T22:02:47Z","timestamp":1037311367000},"page":"948-961","source":"Crossref","is-referenced-by-count":9,"title":["KERNEL AND BANDWIDTH SELECTION, PREWHITENING, AND THE \nPERFORMANCE OF THE FULLY MODIFIED LEAST SQUARES ESTIMATION METHOD"],"prefix":"10.1017","volume":"18","author":[{"given":"Christina","family":"Christou","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Nikitas","family":"Pittis","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2002,5,17]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602184076","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,1]],"date-time":"2019-04-01T19:28:25Z","timestamp":1554146905000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602184076\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,17]]},"references-count":0,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2002,8]]}},"alternative-id":["S0266466602184076"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602184076","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,17]]}}}