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Citations for "A Practitioner's Guide to Robust Covariance Matrix Estimation"

by Wouter J. Den Haan & Andrew T. Levin

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  1. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  2. Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December.
  3. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  4. Fawcett, Nicholas & Koerber, Lena & Masolo, Riccardo & Waldron, Matthew, 2015. "Evaluating UK point and density forecasts from an estimated DSGE model: the role of off-model information over the financial crisis," Bank of England working papers 538, Bank of England.
  5. Francesco Busato & Alessandro Girardi & Amedeo Argentiero, 2008. "Technology and non-technology shocks in a two-sector economy," ISAE Working Papers 96, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  6. Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, EconWPA.
  7. Phillips, Peter C.B., 2005. "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, vol. 21(01), pages 116-142, February.
  8. João F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941 - 986.
  9. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York.
  10. Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
  11. Sun, Yixiao & Phillips, Peter C.B. & Jin, Sainan, 2011. "Power Maximization And Size Control In Heteroskedasticity And Autocorrelation Robust Tests With Exponentiated Kernels," Econometric Theory, Cambridge University Press, vol. 27(06), pages 1320-1368, December.
  12. Jean-Marie Dufour, 2001. "Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie," CIRANO Working Papers 2001s-40, CIRANO.
  13. Covas, Francisco & Den Haan, Wouter, 2007. "The Role of Debt and Equity Finance over the Business Cycle," CEPR Discussion Papers 6145, C.E.P.R. Discussion Papers.
  14. Elena Andreou & Eric Ghysels, 2001. "Detecting Multiple Breaks in Financial Market Volatility Dynamics," University of Cyprus Working Papers in Economics 0202, University of Cyprus Department of Economics.
  15. Jean-Marie Dufour & Denis Pelletier & Éric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
  16. Lei Lei Song, 2006. "The Comovement between Fuel Prices and the General Price level in Australia," Melbourne Institute Working Paper Series wp2006n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  17. repec:adr:anecst:y:1998:i:52:p:01 is not listed on IDEAS
  18. Hirukawa Masayuki, 2004. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers 04005, Concordia University, Department of Economics.
  19. 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.
  20. Collard, Fabrice & Fève, Patrick & Langot, François & Perraudin, Corinne, 1999. "A structural model for US aggregate job flows," CEPREMAP Working Papers (Couverture Orange) 9910, CEPREMAP.
  21. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
  22. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  23. Elena Andreou, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 290-318.
  24. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  25. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  26. Jondeau, E. & Le Bihan, H., 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data," Working papers 86, Banque de France.
  27. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
  28. Philipp Schmidt-Dengler, 2003. "A structural model of aggregate US job flows: another look," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 113-118.
  29. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  30. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
  31. 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.
  32. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  33. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
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