AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION

DOI10.1017/S0266466605050103zbMath1072.62081WikidataQ61631745 ScholiaQ61631745MaRDI QIDQ5697629

Richard J. Smith

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

generalized method of moments

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

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Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Generalized method of moments specification testing
• Nonparametric cointegration analysis
• A unified view of multitaper multivariate spectral estimation
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Hypothesis Testing with Efficient Method of Moments Estimation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Simple Robust Testing of Regression Hypotheses
• Basic Considerations in the Estimation of Spectra