Finite sample performance of a long run variance estimator based on exactly (almost) unbiased autocovariance estimators
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DOI: 10.1016/j.econlet.2018.01.023
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Cited by:
- Yifan Li & Yao Rao, 2021. "A simple nearly unbiased estimator of cross‐covariances," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(2), pages 240-266, March.
- Li, Yifan, 2020. "Nearly unbiased estimation of sample skewness," Economics Letters, Elsevier, vol. 192(C).
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More about this item
Keywords
Long run variance; HAC estimator; Bias correction; Fixed-b asymptotics; Hypothesis testing; Parzen bias;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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