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Robust Covariance Matrix Estimation: Hac Estimates With Long Memory/Antipersistence Correction

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Ulrich K. Müller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Working Papers 2021-61, Princeton University. Economics Department..
  4. Karim M Abadir & Michel Lubrano, 2024. "Explicit solutions for the asymptotically optimal bandwidth in cross-validation," Post-Print hal-04678541, HAL.
  5. 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.
  6. 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.
  7. 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.
  8. Jannik Kreye & Philipp Sibbertsen, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Papers 2409.07087, arXiv.org.
  9. 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.
  10. 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.
  11. Becker, Janis & Leschinski, Christian, 2018. "The Bias of Realized Volatility," Hannover Economic Papers (HEP) dp-642, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. 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.
  13. 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.
  14. Gupta, Abhimanyu, 2018. "Autoregressive spatial spectral estimates," Journal of Econometrics, Elsevier, vol. 203(1), pages 80-95.
  15. 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).
  16. Fu, Hui, 2012. "On a Class of Estimation and Test for Long Memory," MPRA Paper 47978, University Library of Munich, Germany.
  17. 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.
  18. 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.
  19. Ulrich K. Müller & Mark W. Watson, 2022. "Spatial Correlation Robust Inference," Econometrica, Econometric Society, vol. 90(6), pages 2901-2935, November.
  20. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
  28. 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.
  29. 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.
  30. Muller, Ulrich K., 2007. "A theory of robust long-run variance estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1331-1352, December.
  31. 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.
  32. 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.
  33. 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.
  34. Ulrich K. Muller & Mark W. Watson, 2021. "Spatial Correlation Robust Inference," Papers 2102.09353, arXiv.org.
  35. 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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