On the irrelevance of impossibility theorems: the case of the long-run variance

DOI10.2202/1941-1928.1062zbMATH Open1266.62009OpenAlexW2005469647MaRDI QIDQ4928545FDOQ4928545

Authors: Pierre Perron, Linxia Ren 

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1062

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zbMATH Keywords

robust inferenceill-posed problemsspectral density function at frequency zeroHAC estimates

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01)

Cited In (2)

• A theory of robust long-run variance estimation
• How mathematical impossibility changed welfare economics: a history of Arrow's impossibility theorem

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