Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
DOI10.1016/J.JECONOM.2010.10.002zbMATH Open1441.62775OpenAlexW3125874577MaRDI QIDQ737290FDOQ737290
Authors: Min Seong Kim, Yixiao Sun 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.10.002
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spatial dependencecovariance matrix estimatorrobust standard errorasymptotic mean squared errorheteroskedasticity and autocorrelationoptimal bandwidth choice
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- HAC estimation in a spatial framework
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- Nonparametric spectrum estimation for spatial data
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Bootstrap procedures under some non-i.i.d. models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- The wild bootstrap, tamed at last
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Automatic Lag Selection in Covariance Matrix Estimation
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Spatial correlation robust inference with errors in location or distance
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
Cited In (24)
- Limit theorems for network dependent random variables
- Automatic Lag Selection in Covariance Matrix Estimation
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
- Maximum likelihood estimation of a spatial autoregressive model for origin-destination flow variables
- Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
- Title not available (Why is that?)
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- Estimation of spatial sample selection models: a partial maximum likelihood approach
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
- Spatial Correlation Robust Inference in Linear Regression and Panel Models
- Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data
- Covariance estimation under spatial dependence
- HAC estimation in spatial panels
- Covariances among join-count spatial autocorrelation measures
- Small-sample inference with spatial HAC estimators
- Simultaneous statistical inference for second order parameters of time series under weak conditions
- A likelihood ratio test for spatial model selection
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Autoregressive spatial spectral estimates
- Bootstrap inference under cross‐sectional dependence
- Spatial correlation robust inference
- Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
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