Estimation of longrun variance of continuous time stochastic process using discrete sample

DOI10.1016/J.JECONOM.2018.04.006zbMATH Open1452.62945OpenAlexW2905194182WikidataQ128701667 ScholiaQ128701667MaRDI QIDQ2000826FDOQ2000826

Ye Lu, Joon Y. Park

Publication date: 1 July 2019

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.04.006

zbMATH Keywords

kernel estimationbandwidth selectioncontinuous-time modellongrun variance estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Nonlinearity and temporal dependence
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Title not available (Why is that?)
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Recent advances in invariance principles for stationary sequences
• Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
• An Improved Formula for the Asymptotic Variance of Spectrum Estimates
• Donsker theorems for diffusions: necessary and sufficient conditions
• HAC ESTIMATION BY AUTOMATED REGRESSION
• On a problem of statistical inference in null recurrent diffusions
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation

Cited In (4)

• On discrete stochastic processes with long-lasting time dependence in the variance
• Testing for stationarity at high frequency
• Asymptotic F test in regressions with observations collected at high frequency over long span
• Some fixed-\(b\) results for regressions with high frequency data over long spans

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