A theory of robust long-run variance estimation

DOI10.1016/j.jeconom.2007.01.019zbMath1418.62342OpenAlexW2015406517MaRDI QIDQ289220

Ulrich K. Müller

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.019

zbMATH Keywords

functional central limit theorembiasheteroskedasticity and autocorrelation consistent (HAC) variance estimationqualitative robustness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Functional limit theorems; invariance principles (60F17)

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