On a general class of long run variance estimators

DOI10.1016/J.ECONLET.2013.05.026zbMath1284.62579OpenAlexW2081215189MaRDI QIDQ2446261

Xianyang Zhang, Xiao-Feng Shao

Publication date: 16 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2013.05.026

zbMATH Keywords

generalized method of momentsfixed-smoothing asymptoticslong run variance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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