A new kernel for long-run variance estimates in seasonal time series models

DOI10.1016/S0165-1765(02)00048-4zbMath1031.91096MaRDI QIDQ1607261

Man-Suk Oh, Dong Wan Shin

Publication date: 31 July 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

EfficiencySeasonalityAutocovariance function

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fully Modified Least Squares and Vector Autoregression

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