Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

DOI10.2307/2951575MaRDI QIDQ4013241zbMATH OpenOpenAlexFDO

Authors Bruce E. Hansen

Publication date 27 September 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2951575

zbMATH Keywords

alpha mixing conditionconsistency proofgeneral kernel-based covariance estimatorsmixingalesphi mixing conditionrobust covariance matrix estimation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(61)

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• Test for partial parameter instability in regressions with \(I(1)\) processes
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• Alternative HAC covariance matrix estimators with improved finite sample properties
• An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
• Bounded integrated processes and unit root tests
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• Robust out-of-sample inference
• Nonlinear minimization estimators in the presence of cointegrating relations.
• Residual-based tests for cointegration in models with regime shifts
• Improved HAC covariance matrix estimation based on forecast errors
• Covariance matrix estimation for estimators of mixing weak ARMA models
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Uniform nonparametric inference for time series
• Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
• A new consistency proof for HAC variance estimators
• Spurious regression due to neglected of non-stationary volatility
• A semiparametric model for heterogeneous panel data with fixed effects
• Variance inequalities for quadratic forms with applications
• Unit root quantile autoregression testing using covariates
• On size and power of heteroskedasticity and autocorrelation robust tests
• A limit theorem for quadratic forms and its applications
• k-nearest neighbor estimation of inverse-density-weighted expectations with dependent data
• Short run and long run causality in time series: inference
• The limit distribution of the estimates in cointegrated regression models with multiple structural changes
• Improving robust model selection tests for dynamic models
• Cointegrating regressions with messy regressors and an application to mixed-frequency series
• Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
• LIMITED TIME SERIES WITH A UNIT ROOT
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
• On variance estimation in a negative binomial time series regression model
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
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• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• A test of the null of integer integration against the alternative of fractional integration
• Sieve semiparametric two-step GMM under weak dependence
• Generalized C() tests for estimating functions with serial dependence
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• A quantile-based test for symmetry of weakly dependent processes
• ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
• Oracle M-estimation for time series models
• Heteroskedastic time series with a unit root
• Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
• NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
• Invariant tests based onM-estimators, estimating functions, and the generalized method of moments
• Nonlinear estimation using estimated cointegrating relations
• On improving the robustness and reliability of Rao's score test
• Estimating the Spectral Density at Frequencies Near Zero
• The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity
• Prewhitened long-run variance estimation robust to nonstationarity
• HAC Covariance Matrix Estimation in Quantile Regression
• Self-normalization inference for linear trends in cointegrating regressions
• Local GMM estimation for nonparametric time-varying coefficient moment condition models
• HAC estimation and strong linearity testing in weak ARMA models
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

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