Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
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- scientific article; zbMATH DE number 1911817
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
- An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
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- Quantifying the data-dredging bias in structural break tests
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- Posterior-based Wald-type statistics for hypothesis testing
- Deviance information criterion for latent variable models and misspecified models
- Uniform nonparametric inference for time series
- A robust test for mean change in dependent observations
- Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator
- A new consistency proof for HAC variance estimators
- Multiscale clustering of nonparametric regression curves
- Smoothed GMM for quantile models
- Detecting gradual changes in locally stationary processes
- Structural-break models under mis-specification: implications for forecasting
- Are there common values in first-price auctions? A tail-index nonparametric test
- Variance inequalities for quadratic forms with applications
- A robust version of the KPSS test based on indicators
- HAC estimation in a spatial framework
- A limit theorem for quadratic forms and its applications
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
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- Cointegrating regressions with messy regressors and an application to mixed-frequency series
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- Testing the constancy of Spearman's rho in multivariate time series
- LIMITED TIME SERIES WITH A UNIT ROOT
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- FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS
- Consistency of kernel variance estimators for sums of semiparametric linear processes
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- A test of the null of integer integration against the alternative of fractional integration
- Tests for scale changes based on pairwise differences
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
- Rank tests for short memory stationarity
- Moment condition tests for heavy tailed time series
- Empirical likelihood block bootstrapping
- ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
- Testing for changes in Kendall's tau
- Testing Covariance Stationarity
- Kernel estimators of asymptotic variance for adaptive Markov chain Monte Carlo
- NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
- Nonlinear estimation using estimated cointegrating relations
- Testing for Granger causality with mixed frequency data
- Significance testing of rank cross-correlations between autocorrelated time series with short-range dependence
- Nonparametric estimation of a smooth trend in the presence of a periodic sequence
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity
- Prewhitened long-run variance estimation robust to nonstationarity
- Varying-coefficient model and applications for the periodic time series
- HAC Covariance Matrix Estimation in Quantile Regression
- Robust change-point detection for functional time series based on \(U\)-statistics and dependent wild bootstrap
- Functional semiparametric modeling for nonstationary and periodic time series data
- Limit theorems for the symbolic correlation integral and the Rényi-2 entropy under short-range dependence
- Making distributionally robust portfolios feasible in high dimension
- Testing for Equal Average Forecast Accuracy in Possibly Unstable Environments
- Time-varying hierarchical Archimedean copulas: a non-parametric approach
- A bootstrapped test of covariance stationarity based on orthonormal transformations
- Instrumental variables inference in a small-dimensional VAR model with dynamic latent factors
- Self-normalized KPSS tests with power enhancement
- HAC estimation and strong linearity testing in weak ARMA models
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- Dependent multiplier bootstraps for non-degenerate U-statistics under mixing conditions with applications
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