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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.
- Yuanhua Feng & Jan Beran, 2013.
"Optimal convergence rates in non-parametric regression with fractional time series errors,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 30-39, January.
- Feng, Yuanhua, 2002. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Feng, Yuanhua & Beran, Jan, 2007. "Optimal convergence rates in nonparametric regression with fractional time series errors," CoFE Discussion Papers 07/15, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
- Karim M Abadir & Michel Lubrano, 2024. "Explicit solutions for the asymptotically optimal bandwidth in cross-validation," Post-Print hal-04678541, HAL.
- 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.
- Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Jannik Kreye & Philipp Sibbertsen, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Papers 2409.07087, arXiv.org.
- Karim M Abadir & Michel Lubrano, 2023. "Explicit solutions for the asymptotically-optimal bandwidth in cross validation," AMSE Working Papers 2336, Aix-Marseille School of Economics, France.
- 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.
- Becker, Janis & Leschinski, Christian, 2018. "The Bias of Realized Volatility," Hannover Economic Papers (HEP) dp-642, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- McElroy, Tucker & Politis, Dimitris N., 2013.
"Distribution theory for the studentized mean for long, short, and negative memory time series,"
Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
- McElroy, Tucker S & Politis, D N, 2011. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt0dr145dt, Department of Economics, UC San Diego.
- McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
- 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).
- Fu, Hui, 2012. "On a Class of Estimation and Test for Long Memory," MPRA Paper 47978, University Library of Munich, Germany.
- Masoud M. Nasari & Mohamedou Ould-Haye, 2022. "Confidence intervals with higher accuracy for short and long-memory linear processes," Statistical Papers, Springer, vol. 63(4), pages 1187-1220, August.
- 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.
- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2024. "Partially one-sided semiparametric inference for trending persistent and antipersistent processes," Econometrics and Statistics, Elsevier, vol. 30(C), pages 1-14.
- 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.
- Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen, 2019. "Assessing predictive accuracy in panel data models with long-range dependence," CREATES Research Papers 2019-04, Department of Economics and Business Economics, Aarhus University.
- Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
- 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.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2009. "Two estimators of the long-run variance: Beyond short memory," Journal of Econometrics, Elsevier, vol. 150(1), pages 56-70, May.
- 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.