Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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Publication:156125
DOI10.2307/2938229zbMath0732.62052OpenAlexW2108446661WikidataQ61631747 ScholiaQ61631747MaRDI QIDQ156125
Donald W. K. Andrews, Donald W. K. Andrews
Publication date: May 1991
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0877-r.pdf
nonlinear modelslinear modelsspectral densitykernel estimatorautocorrelationheteroskedasticityestimation of covariance matricesfixed sample sizeweighting schemeasymptotic truncated mean squared errors of estimatorsdata-dependent automatic bandwidth/lag truncation parameters
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choice of instruments in mixed frequency specification tests, Testing for structural changes in linear regressions with time-varying variance, On empirical likelihood test for predictability, Asymptotic behavior of cross spectral density estimator at the zero frequency in the presence of degeneracy, Weak Instrumental Variables Models for Longitudinal Data, Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach, Shrinkage of Variance for Minimum Distance Based Tests, Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation, Lessons from a Decade of IPS and LLC, Bootstrap Methods for Time Series, Oracle GMM estimation for misspecified models via thresholding, Heteroscedasticity and Autocorrelation Robust Structural Change Detection, Normality tests for dependent data: large-sample and bootstrap approaches, Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection, Structural change tests under heteroskedasticity: Joint estimation versus two‐steps methods, Misspecified semiparametric model selection with weakly dependent observations, SIMPLE, ROBUST, AND ACCURATEFANDtTESTS IN COINTEGRATED SYSTEMS, Oracle M‐Estimation for Time Series Models, Detecting parameter shift in garch models, A robust functional time series forecasting method, Bootstrap-assisted tests of symmetry for dependent data, Testing for shifts in mean with monotonic power against multiple structural changes, ASYMPTOTIC SIZE OF KLEIBERGEN’S LM AND CONDITIONAL LR TESTS FOR MOMENT CONDITION MODELS, Harmonically Weighted Processes, RESIDUAL AUTOCOVARIANCES AND UNIT ROOT TESTS BASED ON INSTRUMENTAL VARIABLE ESTIMATORS FROM TIME SERIES REGRESSION MODELS, Testing Kendall's τ for a large class of dependent sequences, GMC/GEL estimation of stochastic volatility models, A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters, ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS, Lag order selection for an optimal autoregressive covariance matrix estimator, Testing for stationarity in large panels with cross-dependence, and US evidence on unit labor cost, Parsimonious Model Averaging With a Diverging Number of Parameters, Decision trees unearth return sign predictability in the S&P 500, Second order approximation in a linear regression with heteroskedasticity of unknown form, Quasi-Bayesian model selection, HETEROSKEDASTICITY AUTOCORRELATION ROBUST INFERENCE IN TIME SERIES REGRESSIONS WITH MISSING DATA, BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Inference about long run canonical correlations, A Progressive Block Empirical Likelihood Method for Time Series, A nonparametric test of the mixture-of-distributions model, HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT, Fixed‐banalysis of LM‐type tests for a shift in mean, Block Bootstraps for Time Series With Fixed Regressors, NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY, Nonparametric testing for long-horizon predictability with persistent covariates, Nonmonotonic power for tests of a mean shift in a time series§, ASYMPTOTICALLY UNBIASED ESTIMATION OF AUTOCOVARIANCES AND AUTOCORRELATIONS WITH LONG PANEL DATA, UNIT ROOT TESTS WITH WAVELETS, Simulating competing cointegration tests in a bivariate system, Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study, DEVELOPING TIME-BASED CLUSTERING NEURAL NETWORKS TO USE CHANGE-POINT DETECTION: APPLICATION TO FINANCIAL TIME SERIES, ABSENCE OF CHAOS AND 1/f SPECTRA, BUT EVIDENCE OF TAR NONLINEARITIES, IN THE CANADIAN EXCHANGE RATE, Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity, Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment, Zero-inflated count time series models using Gaussian copula, MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX, HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES, BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP, Time-Varying Periodicity in Intraday Volatility, GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS, Unsupervised Self-Normalized Change-Point Testing for Time Series, Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model, Detecting changes in the second moment structure of high-dimensional sensor-type data in a K-sample setting, DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS, DYNAMIC PRINCIPAL COMPONENT REGRESSION: APPLICATION TO AGE-SPECIFIC MORTALITY FORECASTING, Tests for Scale Changes Based on Pairwise Differences, Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data, THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators, Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence, Inference for the Lagged Cross‐Covariance Operator Between Functional Time Series, A new approach for open‐end sequential change point monitoring, A simple nearly unbiased estimator of cross‐covariances, Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models, High-dimensional MANOVA under weak conditions, Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation, A Quantile‐based Test for Symmetry of Weakly Dependent Processes, Indirect inference for time series using the empirical characteristic function and control variates, The Time-Varying Beveridge Curve, Multivariate hypothesis testing using generalized and {2}-inverses – with applications, Efficient Penalized Estimation for Linear Regression Model, Semiparametric estimation of moment condition models with weakly dependent data, Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities, Bridging factor and sparse models, Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models, Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence, Sieve bootstrap inference for linear time-varying coefficient models, The fixed-\(b\) limiting distribution and the ERP of HAR tests under nonstationarity, Correcting the bias of the sample cross‐covariance estimator, Panel data models with time-varying latent group structures, Standard errors for panel data models with unknown clusters, Is Newey-West optimal among first-order kernels?, Two-sample and change-point inference for non-Euclidean valued time series, Spectral Inference under Complex Temporal Dynamics, Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues, Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico, The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds, Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction, Bootstrapping tests for breaks in mean or variance based on U-statistics, Subsample scan test for multiple breaks based on self-normalization, Estimating weak periodic vector autoregressive time series, Bootstrap inference under cross‐sectional dependence, Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms, Adaptive Tests for Bandedness of High-dimensional Covariance Matrices, Testing for changes in linear models using weighted residuals, A smoothed \(p\)-value test when there is a nuisance parameter under the alternative, Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form, Bootstrapping Laplace transforms of volatility, A practical multivariate approach to testing volatility spillover, Local linear regression with nonparametrically generated covariates for weakly dependent data, Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models, Uniform inference in linear panel data models with two-dimensional heterogeneity, A GMM approach to estimate the roughness of stochastic volatility, Profile GMM estimation of panel data models with interactive fixed effects, Testing the martingale difference hypothesis in high dimension, Asymptotic F test in regressions with observations collected at high frequency over long span, Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding, Adaptive Inference for Change Points in High-Dimensional Data, BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA, Mean stationarity test in time series: a signal variance-based approach, GLS estimation and confidence sets for the date of a single break in models with trends, Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings, A non‐parametric test for multi‐variate trend functions, Peaks, gaps, and time‐reversibility of economic time series, HAC robust trend comparisons among climate series with possible level shifts, Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function, Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas, Getting the ROC into Sync, Optimal covariance matrix estimation for high-dimensional noise in high-frequency data, Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach, Portmanteau tests for periodic ARMA models with dependent errors, Estimating the Spectral Density at Frequencies Near Zero, INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES, Forward-selected panel data approach for program evaluation, A higher-order correct fast moving-average bootstrap for dependent data, Greedy Segmentation for a Functional Data Sequence, Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference, Estimation on unevenly spaced time series, Central limit theorems for high dimensional dependent data, Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”, Inference on Multi-level Partial Correlations Based on Multi-subject Time Series Data, A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS, AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS, HAC ESTIMATION BY AUTOMATED REGRESSION, NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA, AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION, ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION, A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING, Durbin-Hausman tests for cointegration, Durbin-Hausman tests for cointegration, Causality tests and conditional heteroskedasticity: Monte Carlo evidence, Nonlinear estimation using estimated cointegrating relations, ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE, A test for volatility spillover with application to exchange rates, Estimation of impulse response functions using long autoregression, ANALYZING AND PREDICTING CAT BOND PREMIUMS: A FINANCIAL LOSS PREMIUM PRINCIPLE AND EXTREME VALUE MODELING, Change point estimation in regressions with \(I(d)\) variables., The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure, Efficient estimation and inference in cointegrating regressions with structural change, Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors, Linear‐representation Based Estimation of Stochastic Volatility Models, Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity, Testing Covariance Stationarity, Testing for the Null Hypothesis of Cointegration with a Structural Break, Testing the null of cointegration in the presence of a structural break, A simple cointegrating rank test without vector autoregression, Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Projected principal component analysis in factor models, Nonstationarity in time series of state densities, Testing for Granger causality with mixed frequency data, Improved nonparametric confidence intervals in time series regressions, Mean shift testing in correlated data, Time-homogeneous top-K ranking using tensor decompositions, A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES, A modified confidence set for the structural break date in linear regression models, Structural change tests for GEL criteria, Wavelet energy ratio unit root tests, Estimation in a semiparametric panel data model with nonstationarity, Ratio tests under limiting normality, Standard Errors for Nonparametric Regression, Model averaging in a multiplicative heteroscedastic model, Testing for strict stationarity in a random coefficient autoregressive model, Improved confidence sets for the date of a structural break, A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models, GMM estimation of a realized stochastic volatility model: A Monte Carlo study, MTests with a New Normalization Matrix, Semiparametric Sieve-Type Generalized Least Squares Inference, Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data, On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests, A fractionally integrated Wishart stochastic volatility model, Invariant tests based onM-estimators, estimating functions, and the generalized method of moments, Inference on locally ordered breaks in multiple regressions, Power properties of the modified CUSUM tests
