The two most popular bandwidth choice rules for kernel HAC estimation have been proposed
by Andrews (1991) and Newey and West (1994). This paper suggests an alternative approach
that estimates an unknown quantity in the optimal bandwidth for the HAC estimator (called
normalized curvature) using a general class of kernels, and derives the optimal bandwidth that
minimizes the asymptotic mean squared error of the estimator of normalized curvature. It
is shown that the optimal bandwidth for the kernel-smoothed normalized curvature estimator
should diverge at a slower rate than that of the HAC estimator using the same kernel. An
implementation method of the optimal bandwidth for the HAC estimator, which is analogous to
the one for probability density estimation by Sheather and Jones (1991), is also developed. The
.nite sample performance of the new bandwidth choice rule is assessed through Monte Carlo
simulations.
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