Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
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Cited by:
- Alessandro Casini, 2022. "Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”," CEIS Research Paper 536, Tor Vergata University, CEIS, revised 02 Apr 2022.
- Alessandro Casini, 2022. "Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”," Econometrica, Econometric Society, vol. 90(4), pages 1-2, July.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023.
"Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
- Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2021-03-15 (Econometrics)
- NEP-ETS-2021-03-15 (Econometric Time Series)
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