On a general class of long run variance estimators

DOI10.1016/J.ECONLET.2013.05.026MaRDI QIDQ2446261zbMATH OpenOpenAlexFDO

Authors Xianyang Zhang, Xiaofeng Shao

Publication date 16 April 2014

Published in Economics Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International

Full work available at URL https://doi.org/10.1016/j.econlet.2013.05.026

zbMATH Keywords

generalized method of momentsfixed-smoothing asymptoticslong run variance matrix

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A heteroskedasticity and autocorrelation robust \(F\) test using an orthonormal series variance estimator
• A self-normalized approach to confidence interval construction in time series
• Fixed-smoothing asymptotics for time series
• HAC ESTIMATION BY AUTOMATED REGRESSION
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Inference with dependent data using cluster covariance estimators
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter
• RobustMTests Without Consistent Estimation of the Asymptotic Covariance Matrix
• Testing That a Dependent Process Is Uncorrelated
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests

Cited in

(5)

• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Are spectral estimators useful for long-run restrictions in SVARs?
• On size and power of heteroskedasticity and autocorrelation robust tests
• How useful is yet another data-driven bandwidth in long-run variance estimation? A simulation study on cointegrating regressions

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