Robust covariance matrix estimation : 'HAC' estimates with long memory/antipersistence correction
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- Fu, Hui & Chen, Wenting & He, Xin-Jiang, 2018. "On a class of estimation and test for long memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 906-920.
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Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 30-39, January.
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- Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018.
"A simple test on structural change in long-memory time series,"
Economics Letters, Elsevier, vol. 163(C), pages 90-94.
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- Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016.
"Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting,"
Hannover Economic Papers (HEP)
dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Robinson Kruse & Christian Leschinski & Michael Will, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," CREATES Research Papers 2016-17, Department of Economics and Business Economics, Aarhus University.
- Manabu Asai & Michael McAleer, 2017.
"A fractionally integrated Wishart stochastic volatility model,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Documentos de Trabajo del ICAE 2013-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," KIER Working Papers 848, Kyoto University, Institute of Economic Research.
- Gannaz, Irène, 2023. "Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 485-534.
- Ergemen, Yunus Emre & Velasco, Carlos, 2017.
"Estimation of fractionally integrated panels with fixed effects and cross-section dependence,"
Journal of Econometrics, Elsevier, vol. 196(2), pages 248-258.
- Yunus Emre Ergemen & Carlos Velasco, 2015. "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers 2015-35, Department of Economics and Business Economics, Aarhus University.
- Gupta, Abhimanyu, 2018.
"Autoregressive spatial spectral estimates,"
Journal of Econometrics, Elsevier, vol. 203(1), pages 80-95.
- Gupta, A, 2015. "Autoregressive Spatial Spectral Estimates," Economics Discussion Papers 23825, University of Essex, Department of Economics.
- Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
- Zhihao Xu & Clifford M. Hurvich, 2021. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Papers 2108.06093, arXiv.org, revised Jun 2023.
- Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
- Peter M Robinson, 2007. "Multiple Local Whittle Estimation in StationarySystems," STICERD - Econometrics Paper Series 525, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, Javier & Iacone, Fabrizio, 2017. "Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes," Economics Letters, Elsevier, vol. 150(C), pages 39-43.
- Javier Hualde & Fabrizio Iacone, 2015. "Autocorrelation robust inference using the Daniell kernel with fixed bandwidth," Discussion Papers 15/14, Department of Economics, University of York.
- Violetta Dalla & Liudas Giraitis & Hira L. Koul, 2014. "Studentizing Weighted Sums Of Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 151-172, March.
- Degui Li & Peter M. Robinson & Han Lin Shang, 2021. "Local Whittle estimation of long‐range dependence for functional time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 685-695, September.
- Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
- Sophie Achard & Irène Gannaz, 2016. "Multivariate Wavelet Whittle Estimation in Long-range Dependence," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 476-512, July.
- Robinson, Peter M., 2007. "Multiple local whittle estimation in stationary systems," LSE Research Online Documents on Economics 4436, London School of Economics and Political Science, LSE Library.
- Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019.
"Change-in-mean tests in long-memory time series: a review of recent developments,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Ulrich K. Muller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Papers 2102.09353, arXiv.org.
- Hualde, Javier & Iacone, Fabrizio, 2017. "Revisiting inflation in the euro area allowing for long memory," Economics Letters, Elsevier, vol. 156(C), pages 145-150.
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JEL classification:
- J1 - Labor and Demographic Economics - - Demographic Economics
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