Consistency of kernel variance estimators for sums of semiparametric linear processes

DOI10.1111/1368-423X.T01-1-00079MaRDI QIDQ4551778zbMATH OpenOpenAlexFDO

Authors

Publication date 23 September 2002

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423x.t01-1-00079

zbMATH Keywords

near epoch dependent

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
• Stochastic Limit Theory
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes

Cited in

(3)

• A test for fractional cointegration using the sieve bootstrap
• A new consistency proof for HAC variance estimators
• Asymptotics of spectral density estimates

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