HAC ESTIMATION BY AUTOMATED REGRESSION

DOI10.1017/S0266466605050085zbMath1072.62078MaRDI QIDQ5697627

Peter C. B. Phillips

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

kernel estimatorstime seriestrend regression

Mathematics Subject Classification ID

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Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Asymptotics for linear processes
• On the power of stationarity tests using optimal bandwidth estimates
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• New Tools for Understanding Spurious Regressions

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