Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis

DOI10.2307/2527369MaRDI QIDQ4859656zbMATH OpenOpenAlexFDO

Authors Antonio V. Ligeralde, Bryan Brown

Publication date 7 January 1996

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527369

zbMATH Keywords

heteroskedasticity consistent band covariance matrix estimatorMonte Carlo simulationsOLS residualsperformance of Wald-type test statisticsquasi-maximum likelihood procedureType I errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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(5)

• An improved banded estimation for large covariance matrix
• Simple foreign exchange market efficiency revisited
• Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Largest magnitude for off-diagonal auto-correlation coefficients in high dimensional framework

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