Two estimators of the long-run variance: beyond short memory

DOI10.1016/j.jeconom.2009.02.010zbMath1429.62378OpenAlexW2039551112MaRDI QIDQ302164

Liudas Giraitis, Walter Distaso, Karim M. Abadir

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

zbMATH Keywords

long memorylong-run varianceheteroskedasticity and autocorrelation consistent (HAC) estimatormemory and autocorrelation consistent (MAC) estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

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