A theory of robust long-run variance estimation
From MaRDI portal
Publication:289220
DOI10.1016/j.jeconom.2007.01.019zbMath1418.62342MaRDI QIDQ289220
Publication date: 27 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.019
functional central limit theorem; bias; heteroskedasticity and autocorrelation consistent (HAC) variance estimation; qualitative robustness
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35: Robustness and adaptive procedures (parametric inference)
62M15: Inference from stochastic processes and spectral analysis
60F17: Functional limit theorems; invariance principles
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