Improved HAC covariance matrix estimation based on forecast errors

DOI10.1016/j.econlet.2007.06.008zbMath1255.91360OpenAlexW2077918347MaRDI QIDQ1934714

Yu-Wei Hsieh, Chung-Ming Kuan

Publication date: 29 January 2013

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

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/220029/-1/17.pdf

zbMATH Keywords

kernel estimatorrobust testHAC estimatorrecursive residualforecast error

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

Alternative HAC covariance matrix estimators with improved finite sample properties

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Automatic Lag Selection in Covariance Matrix Estimation
• A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
• Simple Robust Testing of Regression Hypotheses
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