Two estimators of the long-run variance: beyond short memory (Q302164)
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scientific article; zbMATH DE number 6600692
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| English | Two estimators of the long-run variance: beyond short memory |
scientific article; zbMATH DE number 6600692 |
Statements
Two estimators of the long-run variance: beyond short memory (English)
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4 July 2016
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long-run variance
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long memory
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heteroskedasticity and autocorrelation consistent (HAC) estimator
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memory and autocorrelation consistent (MAC) estimator
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0.8162077069282532
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0.8119786381721497
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0.8055396676063538
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0.8031229376792908
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0.7988659739494324
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