Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction
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- Linton, Oliver, 2005.
"Nonparametric Inference For Unbalanced Time Series Data,"
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- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series 474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2004. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 2116, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2004. "Nonparametric inference for unbalance time series data," CeMMAP working papers CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
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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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