ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION (Q5697630): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Semiparametric analysis of long-memory time series
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+The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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+Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
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+Consistent autoregressive spectral estimates
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+Gaussian semiparametric estimation of long range dependence
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