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Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction

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  • Robinson, Peter M.

Abstract

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 possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can vary across the vector and be unknown.

Suggested Citation

  • Robinson, Peter M., 2004. "Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction," LSE Research Online Documents on Economics 2157, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2157
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    References listed on IDEAS

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    1. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    2. Peter M Robinson, 1997. "Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.)," STICERD - Econometrics Paper Series 336, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    4. Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar Publishing, volume 0, number 599.
    5. Clifford M. Hurvich & Rohit S. Deo, 1999. "Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(3), pages 331-341, May.
    6. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
    7. Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
    8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    9. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    10. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Linton, Oliver, 2005. "Nonparametric Inference For Unbalanced Time Series Data," Econometric Theory, Cambridge University Press, vol. 21(1), pages 143-157, February.

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    More about this item

    Keywords

    Covariance matrix estimation; long memory; antipersistence correction; HAC estimates; vector process; spectral density.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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