Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2008.
"Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing,"
Econometrica, Econometric Society, vol. 76(1), pages 175-194, January.
- Yixiao Sun & Peter C. B. Phillips & Sainan Jin, 2006. "Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing," Cowles Foundation Discussion Papers 1545, Cowles Foundation for Research in Economics, Yale University.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-1363, September.
- Gao, Jiti & Gijbels, Irène, 2008.
"Bandwidth Selection in Nonparametric Kernel Testing,"
Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1584-1594.
- Jiti Gao & Irene Gijbels, 2009. "Bandwidth Selection in Nonparametric Kernel Testing," School of Economics Working Papers 2009-01, University of Adelaide, School of Economics.
- Andrews, Donald W.K., 2002.
"EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS,"
Econometric Theory, Cambridge University Press, vol. 18(5), pages 1040-1085, October.
- Donald W.K. Andrews, 2000. "Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics," Cowles Foundation Discussion Papers 1269, Cowles Foundation for Research in Economics, Yale University.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005.
"A New Asymptotic Theory For Heteroskedasticity-Autocorrelation Robust Tests,"
Econometric Theory, Cambridge University Press, vol. 21(6), pages 1130-1164, December.
- Kiefer, Nicholas M. & Vogelsang, Timothy J., 2005. "A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests," Working Papers 05-08, Cornell University, Center for Analytic Economics.
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Nigar Hashimzade & Timothy J. Vogelsang, 2008.
"Fixed‐b asymptotic approximation of the sampling behaviour of nonparametric spectral density estimators,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 142-162, January.
- Hashimzade, Nigar & Vogelsang, Timothy, 2006. "Fixed-b Asymptotic Approximation of the Sampling Behavior of Nonparametric Spectral Density Estimators," Working Papers 06-04, Cornell University, Center for Analytic Economics.
- Velasco, Carlos & Robinson, Peter M., 2001.
"Edgeworth Expansions For Spectral Density Estimates And Studentized Sample Mean,"
Econometric Theory, Cambridge University Press, vol. 17(3), pages 497-539, June.
- Robinson, Peter M. & Velasco, Carlos, 2000. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 2148, London School of Economics and Political Science, LSE Library.
- Velasco, Carlos & Robinson, Peter M., 2001. "Edgeworth expansions for spectral density estimates and studentized sample mean," LSE Research Online Documents on Economics 315, London School of Economics and Political Science, LSE Library.
- Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-972, July.
- Inoue, Atsushi & Shintani, Mototsugu, 2006.
"Bootstrapping GMM estimators for time series,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 531-555, August.
- Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
- Peter C. B. Phillips & Yixiao Sun & Sainan Jin, 2006.
"Spectral Density Estimation And Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(3), pages 837-894, August.
- Phillips, Peter C.B. & Sun, Yixiao & Jin, Sainan, 2004. "Spectral Density Estimation and Robust Hypothesis Testing Using Steep Origin Kernels Without Truncation," University of California at San Diego, Economics Working Paper Series qt6mf9q2rt, Department of Economics, UC San Diego.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- West, Kenneth D., 1997.
"Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator,"
Journal of Econometrics, Elsevier, vol. 76(1-2), pages 171-191.
- Kenneth D. West, 1995. "Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," NBER Technical Working Papers 0183, National Bureau of Economic Research, Inc.
- Nicholas M. Kiefer & Timothy J. Vogelsang, 2002.
"Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation,"
Econometrica, Econometric Society, vol. 70(5), pages 2093-2095, September.
- Kiefer, Nicholas M., 2001. "Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation," Working Papers 01-13, Cornell University, Center for Analytic Economics.
- Dimitris N. Politis, 2004. "A Heavy-Tailed Distribution for ARCH Residuals with Application to Volatility Prediction," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 283-298, November.
- Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
- Peter Hall & Qiwei Yao, 2003. "Inference in Arch and Garch Models with Heavy--Tailed Errors," Econometrica, Econometric Society, vol. 71(1), pages 285-317, January.
- Politis, Dimitris N., 2004. "A heavy-tailed distribution for ARCH residuals with application to volatility prediction," University of California at San Diego, Economics Working Paper Series qt7r89639x, Department of Economics, UC San Diego.
- Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation for Research in Economics, Yale University.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lu, Ye & Park, Joon Y., 2019. "Estimation of longrun variance of continuous time stochastic process using discrete sample," Journal of Econometrics, Elsevier, vol. 210(2), pages 236-267.
- Preinerstorfer, David & Pötscher, Benedikt M., 2016.
"On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests,"
Econometric Theory, Cambridge University Press, vol. 32(2), 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.
- Sun, Yixiao, 2011. "Robust trend inference with series variance estimator and testing-optimal smoothing parameter," Journal of Econometrics, Elsevier, vol. 164(2), pages 345-366, October.
- Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation for Research in Economics, Yale University.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2018.
"Controlling the size of autocorrelation robust tests,"
Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
- Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
- Lee, Wei-Ming & Kuan, Chung-Ming & Hsu, Yu-Chin, 2014.
"Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix,"
Journal of Econometrics, Elsevier, vol. 181(2), pages 181-193.
- Wei-Ming Lee & Chung-Ming Kuan, 2006. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 06-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Wei-Ming Lee & Chung-Ming Kuan & Yu-Chin Hsu, 2014. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 14-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Politis, Dimitris, 2005. "Higher-order accurate, positive semi-definite estimation of large-sample covariance and spectral density matrices," University of California at San Diego, Economics Working Paper Series qt7qg2m9rz, Department of Economics, UC San Diego.
- Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011.
"Empirical likelihood block bootstrapping,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
- Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Paper 1156, Economics Department, Queen's University.
- Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Staff Working Papers 08-18, Bank of Canada.
- Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2010. "Empirical Likelihood Block Bootstrapping," Discussion Papers 2010-01, Graduate School of Economics, Hitotsubashi University.
- Wouter J. Den Haan & Andrew T. Levin, 1995.
"Inferences from parametric and non-parametric covariance matrix estimation procedures,"
International Finance Discussion Papers
504, Board of Governors of the Federal Reserve System (U.S.).
- Wouter J. Den Haan & Andrew Levin, 1996. "Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures," NBER Technical Working Papers 0195, National Bureau of Economic Research, Inc.
- Xiaofeng Shao, 2010. "A self‐normalized approach to confidence interval construction in time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(3), pages 343-366, June.
- McElroy, Tucker S. & Politis, Dimitris N., 2014.
"Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 211-225.
- McElroy, Tucker & Politis, Dimitris, 2013. "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics," University of California at San Diego, Economics Working Paper Series qt6164c110, Department of Economics, UC San Diego.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2017.
"A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data,"
Journal of Econometrics, Elsevier, vol. 197(2), pages 298-322.
- Min Seong Kim & Yixiao Sun & Jingjing Yang, 2015. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," Working Papers 049, Ryerson University, Department of Economics.
- Kim, Min Seong & Sun, Yixiao & Yang, Jingjing, 2016. "A Fixed-bandwidth View of the Pre-asymptotic Inference for Kernel Smoothing with Time Series Data," University of California at San Diego, Economics Working Paper Series qt2240n3n5, Department of Economics, UC San Diego.
- Sun, Yixiao & Kim, Min Seong, 2012. "Simple and powerful GMM over-identification tests with accurate size," Journal of Econometrics, Elsevier, vol. 166(2), pages 267-281.
- Matei Demetrescu & Christoph Hanck & Robinson Kruse, 2016. "Fixed-b Inference in the Presence of Time-Varying Volatility," CREATES Research Papers 2016-01, Department of Economics and Business Economics, Aarhus University.
- Sun, Yixiao, 2014.
"Let’s fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 659-677.
- Sun, Yixiao, 2013. "Let's Fix It: Fixed-b Asymptotics versus Small-b Asymptotics in Heteroscedasticity and Autocorrelation Robust Inference," University of California at San Diego, Economics Working Paper Series qt8x8307rz, Department of Economics, UC San Diego.
- Ray, Surajit & Savin, N.E. & Tiwari, Ashish, 2009. "Testing the CAPM revisited," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 721-733, December.
- Cheol-Keun Cho & Timothy J. Vogelsang, 2016. "Fixed- b Inference for Testing Structural Change in a Time Series Regression," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-26, December.
- Bunzel, Helle, 2006.
"FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS,"
Econometric Theory, Cambridge University Press, vol. 22(4), pages 743-755, August.
- Bunzel, Helle, 2003. "Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors," Staff General Research Papers Archive 10685, Iowa State University, Department of Economics.
- Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
More about this item
Keywords
spectral density matrices; large-sample covariance;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt66w826hz. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff). General contact details of provider: http://edirc.repec.org/data/deucsus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.