Positive-Definite Converging Kernel Estimation of Long-Run Variance
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A thresholding-based prewhitened long-run variance estimator and its dependence-oracle property
- Adaptive bandwidth choice
- All of Nonparametric Statistics
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Analysis of Financial Time Series
- Asymptotically constant risk estimator of the time-average variance constant
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Detecting and Predicting Forecast Breakdowns
- Detection of changes in multivariate time series with application to EEG data
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- HAC estimation in a spatial framework
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- High-order corrected estimator of asymptotic variance with optimal bandwidth
- Inference of Trends in Time Series
- Large Sample Properties of Generalized Method of Moments Estimators
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Lugsail lag windows for estimating time-average covariance matrices
- Mean stationarity test in time series: a signal variance-based approach
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
- Multivariate output analysis for Markov chain Monte Carlo
- Nonlinear system theory: Another look at dependence
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Optimal Mean-Squared-Error Batch Sizes
- Optimal difference-based variance estimators in time series: a general framework
- Predicting the equity premium with dividend ratios
- Recursive estimation of time-average variance constants
- Reducing the size distortion of the KPSS test
- Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
- Tapered block bootstrap
- Testing for changes in multivariate dependent observations with an application to temperature changes
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The Size‐Power Tradeoff in HAR Inference
- The asymptotic validity of sequential stopping rules for stochastic simulations
- The jackknife and the bootstrap for general stationary observations
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Time series: theory and methods.
This page was built for publication: Positive-Definite Converging Kernel Estimation of Long-Run Variance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7229781)