On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance
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- Perron Pierre & Ren Linxia, 2011. "On the Irrelevance of Impossibility Theorems: The Case of the Long-run Variance," Journal of Time Series Econometrics, De Gruyter, vol. 3(3), pages 1-34, October.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Preinerstorfer, David & Pötscher, Benedikt M., 2016.
"On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests,"
Cambridge University Press, vol. 32(02), pages 261-358, April.
- Preinerstorfer, David & Pötscher, Benedikt M., 2013. "On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests," MPRA Paper 45675, University Library of Munich, Germany.
More about this item
KeywordsIll-posed problems; Robust inference; HAC estimates; Spectral density function at frequency zero.;
- 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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