Alternative HAC covariance matrix estimators with improved finite sample properties

DOI10.1016/J.CSDA.2017.09.007MaRDI QIDQ1662087zbMATH OpenOpenAlexFDO

Authors Luke Hartigan

Publication date 17 August 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://research.economics.unsw.edu.au/RePEc/papers/2016-06.pdf

zbMATH Keywords

covariance matrix estimationfinite sample analysishypothesis testinginferenceleverage pointsMonte Carlo simulation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Asymptotic inference under heteroskedasticity of unknown form
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 1211744 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• Improved HAC covariance matrix estimation based on forecast errors
• Improved heteroscedasticity-consistent covariance matrix estimators
• Inference Under Heteroskedasticity and Leveraged Data
• Simple Robust Testing of Regression Hypotheses
• Tests for regression models with heteroskedasticity of unknown form
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• The Hat Matrix in Regression and ANOVA
• The jackknife and the bootstrap for general stationary observations

Cited in

(3)

• Improved HAC covariance matrix estimation based on forecast errors
• A new consistency proof for HAC variance estimators
• An intuitive skewness-based symmetry test applicable to stationary time series data

Describes a project that uses

Uses Software

• Armadillo

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