Prewhitened long-run variance estimation robust to nonstationarity (Q6573810)

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Prewhitened long-run variance estimation robust to nonstationarity

scientific article; zbMATH DE number 7882270

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English	Prewhitened long-run variance estimation robust to nonstationarity	scientific article; zbMATH DE number 7882270

Statements

instance of

scholarly article

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title

Prewhitened long-run variance estimation robust to nonstationarity (English)

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Journal of Econometrics

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publication date

17 July 2024

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zbMATH Keywords

asymptotic minimax MSE

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data-dependent bandwidths

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HAC

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HAR

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long-run variance

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nonstationarity

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prewhitening

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spectral density

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MaRDI profile type

MaRDI publication profile

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cites work

Strong rules for detecting the number of breaks in a time series

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Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings

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Q4082810

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Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”

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Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

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The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity

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Nonmonotonic power for tests of a mean shift in a time series§

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Fitting time series models to nonstationary processes

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On the Optimal Segment Length for Parameter Estimates for Locally Stationary Time Series

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Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

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A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend

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Detecting and Predicting Forecast Breakdowns

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Tests of Conditional Predictive Ability

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Q3247497

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

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The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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Tests for changing mean with monotonic power

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Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Simple Robust Testing of Regression Hypotheses

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Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope

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The Size‐Power Tradeoff in HAR Inference

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HAR Inference: Recommendations for Practice

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Improved tests for forecast comparisons in the presence of instabilities

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Automatic Lag Selection in Covariance Matrix Estimation

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BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Testing for Changes in Forecasting Performance

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The Cusum Test with Ols Residuals

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Local Parametric Estimation in High Frequency Data

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Finite sample properties of tests based on prewhitened nonparametric covariance estimators

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Likelihood ratio-based tests for Markov regime switching

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Improving the bandwidth-free inference methods by prewhitening

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Testing for change points in time series

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Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference

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Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

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Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series

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Asymptotic Inference about Predictive Ability

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Optimal bandwidth selection for robust generalized method of moments estimation

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A Nonparametric Prewhitened Covariance Estimator

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Unsupervised self-normalized change-point testing for time series

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.JECONOM.2024.105794

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Sitelinks

Mathematics(1 entry)

mardi Prewhitened long-run variance estimation robust to nonstationarity