Two estimators of the long-run variance: beyond short memory
DOI10.1016/J.JECONOM.2009.02.010zbMATH Open1429.62378OpenAlexW2039551112MaRDI QIDQ302164FDOQ302164
Authors: Karim M. Abadir, Walter Distaso, L. Giraitis 
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10044/1/15605
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Cites Work
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- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
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Cited In (25)
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- On the irrelevance of impossibility theorems: the case of the long-run variance
- Inference for continuous-time long memory randomly sampled processes
- Estimating long memory in panel random-coefficient AR(1) data
- A theory of robust long-run variance estimation
- Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
- High-order corrected estimator of asymptotic variance with optimal bandwidth
- A two-stage plug-in bandwidth selection and its implementation for covariance estimation
- One-way analysis of variance with long memory errors and its application to stock return data
- Long-range dependent curve time series
- Local Whittle estimation of long-range dependence for functional time series
- On a class of estimation and test for long memory
- Approximations and limit theory for quadratic forms of linear processes
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- A goodness-of-fit test for marginal distribution of linear random fields with long memory
- Confidence intervals with higher accuracy for short and long-memory linear processes
- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- A two-sample test for comparison of long memory parameters
- A consistent estimator for skewness of partial sums of dependent data
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Change-in-mean tests in long-memory time series: a review of recent developments
- On a general class of long run variance estimators
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
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