A new kernel for long-run variance estimates in seasonal time series models

DOI10.1016/S0165-1765(02)00048-4MaRDI QIDQ1607261zbMATHFDO

Authors Dong Wan Shin, Man-Suk Oh

Publication date 31 July 2002

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

EfficiencySeasonalityAutocovariance function

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fully Modified Least Squares and Vector Autoregression
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Cited in

(4)

• Estimation of spectral density for seasonal time series models
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
• On smoothing estimation for seasonal time series with long cycles
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors

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