Two estimators of the long-run variance: beyond short memory (Q302164): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P20 / rank | |||
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| Property / zbMATH DE Number: 6600692 / rank | |||
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long-run variance | |||
| Property / zbMATH Keywords: long-run variance / rank | |||
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long memory | |||
| Property / zbMATH Keywords: long memory / rank | |||
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heteroskedasticity and autocorrelation consistent (HAC) estimator | |||
| Property / zbMATH Keywords: heteroskedasticity and autocorrelation consistent (HAC) estimator / rank | |||
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memory and autocorrelation consistent (MAC) estimator | |||
| Property / zbMATH Keywords: memory and autocorrelation consistent (MAC) estimator / rank | |||
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Revision as of 23:09, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Two estimators of the long-run variance: beyond short memory |
scientific article |
Statements
Two estimators of the long-run variance: beyond short memory (English)
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4 July 2016
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long-run variance
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long memory
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heteroskedasticity and autocorrelation consistent (HAC) estimator
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memory and autocorrelation consistent (MAC) estimator
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