Lag order selection for an optimal autoregressive covariance matrix estimator

DOI10.1080/02664760902873969OpenAlexW1983540905MaRDI QIDQ5123569

Marco Morales

Publication date: 29 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760902873969

zbMATH Keywords

covariance matrixstatistical inferencespectral densityautoregressivelag-order selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Consistent autoregressive spectral estimates
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power

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