Lag order selection for long-run variance estimation in econometrics
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Automatic Lag Selection in Covariance Matrix Estimation
- Consistent autoregressive spectral estimates
- Estimating the dimension of a model
- Fitting autoregressive models for prediction
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3694445 (Why is no real title available?)
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Lag order selection for an optimal autoregressive covariance matrix estimator
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
- The Bias of Autoregressive Coefficient Estimators
- The exact moments of the least squares estimator for the autoregressive model
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