Alternative HAC covariance matrix estimators with improved finite sample properties

DOI10.1016/J.CSDA.2017.09.007zbMATH Open1469.62075OpenAlexW2399619874MaRDI QIDQ1662087FDOQ1662087

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

Recommendations

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• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
• scientific article; zbMATH DE number 1211744

zbMATH Keywords

hypothesis testingcovariance matrix estimationMonte Carlo simulationinferenceleverage pointsfinite sample analysis

Mathematics Subject Classification ID

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

Cites Work

• The jackknife and the bootstrap for general stationary observations
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Improved heteroscedasticity-consistent covariance matrix estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• The Hat Matrix in Regression and ANOVA
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• Title not available (Why is that?)
• Inference Under Heteroskedasticity and Leveraged Data
• Asymptotic inference under heteroskedasticity of unknown form
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Title not available (Why is that?)
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Tests for regression models with heteroskedasticity of unknown form
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Simple Robust Testing of Regression Hypotheses
• Title not available (Why is that?)
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Improved HAC covariance matrix estimation based on forecast errors

Cited In (2)

• A new consistency proof for HAC variance estimators
• An intuitive skewness-based symmetry test applicable to stationary time series data

Uses Software

• Armadillo

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