Automatic Lag Selection in Covariance Matrix Estimation

DOI10.2307/2297912zbMath0815.62063WikidataQ59486378 ScholiaQ59486378MaRDI QIDQ4319456

Publication date: 29 June 1995

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0144.pdf

zbMATH Keywords

Monte Carlo simulations; heteroskedasticity; time series models; autocorrelation consistent covariance matrix; mean-squared error loss; number of autocovariances

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

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