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

DOI10.1017/S0266466605050115zbMath1072.62090MaRDI QIDQ5697630

Peter M. Robinson

Publication date: 18 October 2005

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

zbMATH Keywords

I(0) series

Mathematics Subject Classification ID

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

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY, Multivariate Wavelet Whittle Estimation in Long-range Dependence, A theory of robust long-run variance estimation, Two estimators of the long-run variance: beyond short memory, Asymptotic theory for nonparametric regression with spatial data, Multiple local Whittle estimation in stationary systems, Distribution theory for the Studentized mean for long, short, and negative memory time series, On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation, Optimal convergence rates in non-parametric regression with fractional time series errors, STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES

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