ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
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Publication:5697630
DOI10.1017/S0266466605050115zbMath1072.62090OpenAlexW2061345235MaRDI 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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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Cites Work
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- On Consistent Estimates of the Spectrum of a Stationary Time Series
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- 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
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