Prewhitened long-run variance estimation robust to nonstationarity

DOI10.1016/J.JECONOM.2024.105794MaRDI QIDQ6573810zbMATH OpenFDO

Authors Alessandro Casini, Pierre Perron

Publication date 17 July 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105794

zbMATH Keywords

asymptotic minimax MSEdata-dependent bandwidthsHACHARlong-run variancenonstationarityprewhiteningspectral density

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• Testing for variance changes under varying mean and serial correlation

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