COVARIANCE MATRIX ESTIMATION AND THE LIMITING BEHAVIOR OF THE OVERIDENTIFYING RESTRICTIONS TEST IN THE PRESENCE OF NEGLECTED STRUCTURAL INSTABILITY
DOI10.1017/S0266466603196041zbMath1441.62715OpenAlexW2097611102MaRDI QIDQ4562545
Fernanda P. M. Peixe, Alastair R. Hall, Atsushi Inoue
Publication date: 21 December 2018
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466603196041
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Order estimation in ARMA-models by Lagrangian multiplier tests
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- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
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