A new consistency proof for HAC variance estimators

DOI10.1016/J.ECONLET.2019.108811zbMATH Open1435.62133OpenAlexW2991017726MaRDI QIDQ2292789FDOQ2292789

Authors: Yanyan Li 

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2019.108811

Recommendations

• scientific article; zbMATH DE number 1240597
• Alternative HAC covariance matrix estimators with improved finite sample properties
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Strong Consistency and Other Properties of the Spectral Variance Estimator
• Consistency of jackknife variance estimators jun
• Publication:5750133

zbMATH Keywords

consistencyestimationHAC variance

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Stochastic Limit Theory
• 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
• Title not available (Why is that?)
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Consistency of kernel variance estimators for sums of semiparametric linear processes

Cited In (1)

• A GMM approach to estimate the roughness of stochastic volatility

This page was built for publication: A new consistency proof for HAC variance estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2292789)