Two estimators of the long-run variance: beyond short memory
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Cites work
- scientific article; zbMATH DE number 3113885 (Why is no real title available?)
- scientific article; zbMATH DE number 3147986 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Aggregation, Persistence and Volatility in a Macro Model
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Approximations and limit theory for quadratic forms of linear processes
- Consistent estimation of the memory parameter for nonlinear time series
- EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
- Gaussian semiparametric estimation of long range dependence
- Limit theorems for bivariate Appell polynomials. II: Non-central limit theorems
- Log-periodogram regression of time series with long range dependence
- Nonstationarity-extended local Whittle estimation
- On the Definitions of (Co-)integration
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
- Rescaled variance and related tests for long memory in volatility and levels
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Testing the unit root hypothesis using generalized range statistics
Cited in
(25)- Change-in-mean tests in long-memory time series: a review of recent developments
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- Local Whittle estimation of long-range dependence for functional time series
- A goodness-of-fit test for marginal distribution of linear random fields with long memory
- On the irrelevance of impossibility theorems: the case of the long-run variance
- Distinguishing between breaks in the mean and breaks in persistence under long memory
- Inference for continuous-time long memory randomly sampled processes
- A two-stage plug-in bandwidth selection and its implementation for covariance estimation
- A theory of robust long-run variance estimation
- Estimating long memory in panel random-coefficient AR(1) data
- On a class of estimation and test for long memory
- Long-range dependent curve time series
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- STUDENTIZING WEIGHTED SUMS OF LINEAR PROCESSES
- Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes
- Distribution theory for the Studentized mean for long, short, and negative memory time series
- Approximations and limit theory for quadratic forms of linear processes
- Asymptotic distribution of the bias corrected least squares estimators in measurement error linear regression models under long memory
- A consistent estimator for skewness of partial sums of dependent data
- High-order corrected estimator of asymptotic variance with optimal bandwidth
- One-way analysis of variance with long memory errors and its application to stock return data
- On a general class of long run variance estimators
- A two-sample test for comparison of long memory parameters
- Confidence intervals with higher accuracy for short and long-memory linear processes
- ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
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