A theory of robust long-run variance estimation
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biasfunctional central limit theoremheteroskedasticity and autocorrelation consistent (HAC) variance estimationqualitative robustness
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) 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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Cites work
- scientific article; zbMATH DE number 3147986 (Why is no real title available?)
- scientific article; zbMATH DE number 3655215 (Why is no real title available?)
- scientific article; zbMATH DE number 1211743 (Why is no real title available?)
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- scientific article; zbMATH DE number 2169747 (Why is no real title available?)
- A General Qualitative Definition of Robustness
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A user's guide to measure theoretic probability
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotic inference for nearly nonstationary AR(1) processes
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Consistent autoregressive spectral estimates
- Conventional Confidence Intervals for Points on Spectrum have Confidence Level Zero
- Distributed Lag Estimation When the Parameter Space is Explicitly Infinite- Dimensional
- Efficiency-constrained bias-robust estimation of location
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Inequalities: theory of majorization and its applications
- Infinitesimal robustness for autoregressive processes
- Influence functionals for time series (with discussion)
- Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
- Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
- New Tools for Understanding Spurious Regressions
- On the Eigenvalues of a Class of Integral Equations Arising in Laser Theory
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Robust linear extrapolations of second-order stationary processes
- Robust spectral regression
- Robustness of the autoregressive spectral estimate for linear processes with infinite variance
- Semiparametric analysis of long-memory time series
- Simple Robust Testing of Regression Hypotheses
- Size and power of tests of stationarity in highly autocorrelated time series
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- Towards a unified asymptotic theory for autoregression
Cited in
(44)- Adjusted-range self-normalized confidence interval construction for censored dependent data
- Comment on "HAR Inference: Recommendations for Practice"
- Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
- A simple and trustworthy asymptotic \(t\) test in difference-in-differences regressions
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- On the irrelevance of impossibility theorems: the case of the long-run variance
- THE IMPOSSIBILITY OF CONSISTENT DISCRIMINATION BETWEEN I(0) AND I(1) PROCESSES
- Comment
- A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Powerful unit root tests free of nuisance parameters
- Ratio tests under limiting normality
- Optimal HAR inference
- Efficient estimation of heterogeneous coefficients in panel data models with common shocks
- The asymptotic size and power of the augmented Dickey-Fuller test for a unit root
- Detection of stationary errors in multiple regressions with integrated regressors and cointegration
- How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions
- Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework
- Robust trend inference with series variance estimator and testing-optimal smoothing parameter
- A thresholding-based prewhitened long-run variance estimator and its dependence-oracle property
- INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES
- Spatial correlation robust inference
- Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
- Simple and powerful GMM over-identification tests with accurate size
- Unit root tests and their challenges
- Two estimators of the long-run variance: beyond short memory
- Low-frequency robust cointegration testing
- Simple and trustworthy cluster-robust GMM inference
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Asymptotic F tests under possibly weak identification
- Is Newey-West optimal among first-order kernels?
- Finite-sample corrected inference for two-step GMM in time series
- Inference for modulated stationary processes
- A noisy principal component analysis for forward rate curves
- Asymptotic \(F\) and \(t\) tests in an efficient GMM setting
- On a general class of long run variance estimators
- A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations
- Inference in time series models using smoothed-clustered standard errors
- Fixed-smoothing asymptotics for time series
- Validating approximate slope homogeneity in large panels
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Sieve bootstrap inference for linear time-varying coefficient models
- High-dimensional IV cointegration estimation and inference
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
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