Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
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Cites work
- A heteroskedasticity and autocorrelation robust F test using an orthonormal series variance estimator
- A simple bootstrap method for constructing nonparametric confidence bands for functions
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A two-stage plug-in bandwidth selection and its implementation for covariance estimation
- Adaptive bandwidth choice
- ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES
- Asymptotic theory for stationary processes
- Asymptotically optimal difference-based estimation of variance in nonparametric regression
- Asymptotics of spectral density estimates
- Automatic Lag Selection in Covariance Matrix Estimation
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Detection of changes in multivariate time series with application to EEG data
- Estimating the Variance In Nonparametric Regression—What is a Reasonable Choice?
- HAC ESTIMATION BY AUTOMATED REGRESSION
- HAR Inference: Recommendations for Practice
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- High-order corrected estimator of asymptotic variance with optimal bandwidth
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- scientific article; zbMATH DE number 3963031 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 2154633 (Why is no real title available?)
- scientific article; zbMATH DE number 3357844 (Why is no real title available?)
- Inference of Trends in Time Series
- Isotonic regression: Another look at the changepoint problem
- Modelling structural breaks, long memory and stock market volatility: an overview
- New recursive estimators of the time-average variance constant
- Nonlinear system theory: Another look at dependence
- Nonmonotonic power for tests of a mean shift in a time series§
- Optimal Mean-Squared-Error Batch Sizes
- Resampling methods for dependent data
- Sources of nonmonotonic power when testing for a shift in mean of a dynamic time series
- Strong invariance principles for dependent random variables
- Strong rules for detecting the number of breaks in a time series
- Subsampling
- Tapered block bootstrap
- Testing for change points in time series
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Testing for Parallelism Among Trends in Multiple Time Series
- Tests for changing mean with monotonic power
- Tests for Hurst effect
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- The Cusum Test with Ols Residuals
- The jackknife and the bootstrap for general stationary observations
- The Stationary Bootstrap
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Time series: theory and methods.
- Uniform change point tests in high dimension
- Weighted batch means estimators in Markov chain Monte Carlo
Cited in
(7)- Prewhitened long-run variance estimation robust to nonstationarity
- Multivariate strong invariance principles in Markov chain Monte Carlo
- Inference in coarsened time series via generalized method of moments
- A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
- Estimation of change points for non-linear (auto-)regressive processes using neural network functions
- Positive-Definite Converging Kernel Estimation of Long-Run Variance
- Testing for variance changes under varying mean and serial correlation
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