Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model

DOI10.1016/j.spl.2017.11.016zbMath1463.62265OpenAlexW2775457143MaRDI QIDQ1650294

Spyridon D. Symeonides, Yiannis Karavias, Elias Tzavalis

Publication date: 3 July 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://pure-oai.bham.ac.uk/ws/files/45150948/KST_OMEGA_Nov_15.pdf

zbMATH Keywords

linear regressionasymptotic approximationsstochastic expansionsAR(1) disturbancesautocorrelation robust inference

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric robustness (62G35) Linear regression; mixed models (62J05)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Mean and autocovariance function estimation near the boundary of stationarity
• Useful invariance results for generalized regression models
• Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model
• Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
• Approximate Normality of Generalized Least Squares Estimates
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
• A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
• Automatic Lag Selection in Covariance Matrix Estimation
• Simple Robust Testing of Regression Hypotheses
• EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
• BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP

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