ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
From MaRDI portal
Publication:5697630
DOI10.1017/S0266466605050115zbMath1072.62090MaRDI QIDQ5697630
Publication date: 18 October 2005
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466605050115
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62M15: Inference from stochastic processes and spectral analysis
Related Items
Local Whittle estimation of long‐range dependence for functional time series, Long-Range Dependent Curve Time Series, FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY, A fractionally integrated Wishart stochastic volatility model, Multivariate Wavelet Whittle Estimation in Long-range Dependence, A simple test on structural change in long-memory time series, A theory of robust long-run variance estimation, Two estimators of the long-run variance: beyond short memory, Estimation of fractionally integrated panels with fixed effects and cross-section dependence, Asymptotic theory for nonparametric regression with spatial data, Multiple local Whittle estimation in stationary systems, Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes, Autoregressive spatial spectral estimates, Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators, On optimal block resampling for Gaussian-subordinated long-range dependent processes, On a class of estimation and test for long memory, Confidence intervals with higher accuracy for short and long-memory linear processes, Distinguishing between breaks in the mean and breaks in persistence under long memory, Change-in-mean tests in long-memory time series: a review of recent developments, Distribution theory for the Studentized mean for long, short, and negative memory time series, On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, Optimal convergence rates in non-parametric regression with fractional time series errors, STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Consistent autoregressive spectral estimates
- Semiparametric analysis of long-memory time series
- Rates of convergence and optimal spectral bandwidth for long range dependence
- Large-sample inference for nonparametric regression with dependent errors
- Determination of cointegrating rank in fractional systems.
- Gaussian semiparametric estimation of long range dependence
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- A test of location for data with slowly decaying serial correlations
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
- Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series