ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION

DOI10.1017/S0266466605050115zbMath1072.62090OpenAlexW2061345235MaRDI QIDQ5697630

Peter M. Robinson

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050115

zbMATH Keywords

I(0) series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)

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