You searched for:
Keyword: hac estimation;
2 results found.
Nonparametric Inference for Unbalanced Time Series Data
This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data is unbalanced or incomplete. In this case, one can work only with the common sample, to which a sta...Read more...
ROBUST COVARIANCE MATRIX ESTIMATION: 'HAC' Estimates with Long Memory/Antipersistence Correction
Peter M Robinson
Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibl...Read more...