Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator

DOI10.1016/0304-4076(95)01788-7zbMath0878.62103OpenAlexW2091174088MaRDI QIDQ1362034

Kenneth D. West

Publication date: 5 January 1998

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01788-7

zbMATH Keywords

time seriesserial correlationspectral densitymoving average

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10)

Related Items (13)

Generalized reduced rank tests using the singular value decomposition ⋮ Examining bias in estimators of linear rational expectations models under misspecification ⋮ Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis ⋮ Interval forecasts and parameter uncertainty ⋮ Alternative HAC covariance matrix estimators with improved finite sample properties ⋮ On variance estimation in a negative binomial time series regression model ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models ⋮ A TWO-STAGE PLUG-IN BANDWIDTH SELECTION AND ITS IMPLEMENTATION FOR COVARIANCE ESTIMATION ⋮ On improving the robustness and reliability of Rao's score test ⋮ HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES ⋮ COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY ⋮ Modeling the interdependence of volatility and inter-transaction duration processes.

Cites Work

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• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Time series: theory and methods.
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• Two-step two-stage least squares estimation in models with rational expectations
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• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

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