Alternative HAC covariance matrix estimators with improved finite sample properties

DOI10.1016/j.csda.2017.09.007zbMath1469.62075OpenAlexW2399619874MaRDI QIDQ1662087

Luke Hartigan

Publication date: 17 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://research.economics.unsw.edu.au/RePEc/papers/2016-06.pdf

zbMATH Keywords

hypothesis testingMonte Carlo simulationinferencecovariance matrix estimationleverage pointsfinite sample analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items (1)

An intuitive skewness-based symmetry test applicable to stationary time series data

Uses Software

• Armadillo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for regression models with heteroskedasticity of unknown form
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• The jackknife and the bootstrap for general stationary observations
• Improved HAC covariance matrix estimation based on forecast errors
• Improved heteroscedasticity-consistent covariance matrix estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• The Hat Matrix in Regression and ANOVA
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Simple Robust Testing of Regression Hypotheses
• Inference Under Heteroskedasticity and Leveraged Data

This page was built for publication: Alternative HAC covariance matrix estimators with improved finite sample properties