NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA

DOI10.1017/S0266466605050097zbMath1072.62074OpenAlexW3125060761MaRDI QIDQ5697628

Oliver B. Linton

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050097

zbMATH Keywords

subsamplinglong run variance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Efficient estimation of linear functionals of a probability measure \(P\) with known marginal distributions
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• A Nonparametric Prewhitened Covariance Estimator
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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