Pages that link to "Item:Q156125"

The following pages link to Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (Q156125):

Displaying 50 items.

• Asymptotically unbiased estimation of autocovariances and autocorrelations for panel data with incidental trends (Q553875) (← links)
• Small sample properties of alternative tests for martingale difference hypothesis (Q631280) (← links)
• Estimating structural VARMA models with uncorrelated but non-independent error terms (Q631613) (← links)
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices (Q638800) (← links)
• Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models (Q639606) (← links)
• Detecting changes from short to long memory (Q657089) (← links)
• Unemployment and the business cycle in a small open economy (Q671544) (← links)
• Changes in seasonal patterns (Q671898) (← links)
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root? (Q675678) (← links)
• Size improvement of the KPSS test using sieve bootstraps (Q694931) (← links)
• Adjusting for confounders in cross-correlation analysis: an application to resting state networks (Q721615) (← links)
• Forecasting multivariate realized stock market volatility (Q737267) (← links)
• Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations (Q737273) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix (Q737290) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Understanding models' forecasting performance (Q738003) (← links)
• Estimating a common deterministic time trend break in large panels with cross sectional dependence (Q738030) (← links)
• Robust trend inference with series variance estimator and testing-optimal smoothing parameter (Q738032) (← links)
• Inference with dependent data using cluster covariance estimators (Q738071) (← links)
• Simple and powerful GMM over-identification tests with accurate size (Q738121) (← links)
• Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects (Q738124) (← links)
• Recurrent support vector regression for a non-linear ARMA model with applications to forecasting financial returns (Q740075) (← links)
• Functional coefficient seasonal time series models with an application of Hawaii tourism data (Q740081) (← links)
• Testing linearity against threshold effects: uniform inference in quantile regression (Q744003) (← links)
• A modified Wilcoxon test for change points in long-range dependent time series (Q777757) (← links)
• The Frisch-Waugh-Lovell theorem for standard errors (Q826687) (← links)
• Two sample tests for high-dimensional autocovariances (Q830592) (← links)
• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators (Q834320) (← links)
• Investigating time-variation in the marginal predictive power of the yield spread (Q844643) (← links)
• A dynamic factor approach to nonlinear stability analysis (Q844759) (← links)
• HAC estimation and strong linearity testing in weak ARMA models (Q860337) (← links)
• Long run variance estimation and robust regression testing using sharp origin kernels with no truncation (Q866643) (← links)
• Nonparametric spectrum estimation for spatial data (Q866644) (← links)
• The volume-volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997 (Q867692) (← links)
• Long-run variance estimation for spatial data under change-point alternatives (Q894795) (← links)
• Improving the finite sample performance of tests for a shift in mean (Q897636) (← links)
• Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors (Q899509) (← links)
• On the asymptotic normality of kernel estimators of the long run covariance of functional time series (Q901286) (← links)
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form (Q907059) (← links)
• Multivariate lag-windows and group representations (Q957327) (← links)
• Bayesian analysis of the stochastic conditional duration model (Q959312) (← links)
• Implementing a class of structural change tests: an econometric computing approach (Q959387) (← links)
• Are European business cycles close enough to be just one? (Q959645) (← links)
• Efficient Bayesian estimation of multivariate state space models (Q961901) (← links)
• Weakly dependent functional data (Q973886) (← links)
• Identifying a permanent markup shock and its implications for macroeconomic dynamics (Q991403) (← links)
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models (Q1023621) (← links)
• What do `residuals' from first-order conditions reveal about DGE models? (Q1027393) (← links)
• Tests for a mean shift with good size and monotonic power (Q1036841) (← links)