Prewhitened long-run variance estimation robust to nonstationarity (Q6573810)
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scientific article; zbMATH DE number 7882270
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Prewhitened long-run variance estimation robust to nonstationarity |
scientific article; zbMATH DE number 7882270 |
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Prewhitened long-run variance estimation robust to nonstationarity (English)
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17 July 2024
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asymptotic minimax MSE
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data-dependent bandwidths
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HAC
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HAR
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long-run variance
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nonstationarity
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prewhitening
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spectral density
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