Correcting the bias of the sample cross‐covariance estimator
From MaRDI portal
Publication:6194051
DOI10.1111/JTSA.12701OpenAlexW4380558385MaRDI QIDQ6194051
No author found.
Publication date: 14 February 2024
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12701
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Nearly unbiased estimation of sample skewness
- Eigenvalues and eigenvectors of symmetric centrosymmetric matrices
- The asymptotic distribution of serial covariances
- Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
- Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference
- Exactly/Nearly Unbiased Estimation of Autocovariances of a Univariate Time Series With Unknown Mean
- Inverse eigenvalue problems for bisymmetric matrices under a central principal submatrix constraint
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- The Multivariate Portmanteau Statistic
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
- The Stationary Bootstrap
- Simple Robust Testing of Regression Hypotheses
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- A simple nearly unbiased estimator of cross‐covariances
- A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- Asymptotic properties of spectral estimates of second order
This page was built for publication: Correcting the bias of the sample cross‐covariance estimator
