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Keyword: variance estimation;

7 results found.

Econometrics Paper

Adapting Kernel Estimation to Uncertain Smoothness

Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh

For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate...Read more...

April 2011

Econometrics Paper

Statistical Inference on Regression with Spatial Dependence

Peter M Robinson and Supachoke Thawornkaiwong

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...

April 2010

Econometrics Paper

Modified Whittle Estimation of Multilateral Models on a Lattice

Peter M Robinson and J Vidal Sanz

In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d >= 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more gene...Read more...

June 2005

Econometrics Paper

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...

March 2004

Econometrics Paper

Inference-without-Smoothing in the Presence of Nonparametric Autocorrelation - (Now published in 'Econometrica', 66 (1998), pp.1163-1182.)

Peter M Robinson

In a number of econometric models, rules of large-sample inference require a consistent estimate of f(0), where f (?) is the spectral density matrix of yt = ut?xt, for covariance stationary vectors ut, xt. Typically yt i...Read more...

October 1997

Econometrics Paper

Autocorrelation-Robust Inference - (Now published in 'Handbook of Statistics', vol.15, G S Maddala and C R Rao (eds), Elsevier Science Publishers BV (1997), pp.267-298.)

Peter M Robinson and Carlos Velasco

We consider statistical inference in the presence of serial dependence. The main focus is on use of statistics that are constructed as if no dependence were believed present, and are asymptotically normal in the presence...Read more...

December 1996

Econometrics Paper

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Javier Hidalgo

This paper provides limit theorems for special density matrix estimators and functionals of it for a bivariate co variance stationary process whose spectral density matrix has singularities not only at the origin but pos...Read more...

February 1996