AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION

DOI10.1017/S0266466605050103zbMath1072.62081OpenAlexW2148851223WikidataQ61631745 ScholiaQ61631745MaRDI QIDQ5697629

Richard J. Smith

Publication date: 18 October 2005

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

Full work available at URL: https://doi.org/10.1017/s0266466605050103

zbMATH Keywords

generalized method of moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (13)

Generalized empirical likelihood tests in time series models with potential identification failure ⋮ k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA ⋮ SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS ⋮ Testing for Structural Instability in Moment Restriction Models: An Info-Metric Approach ⋮ A higher-order correct fast moving-average bootstrap for dependent data ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ GEL statistics under weak identification ⋮ GEL CRITERIA FOR MOMENT CONDITION MODELS ⋮ GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION ⋮ Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models ⋮ Improved generalized method of moments estimators for weakly dependent observations ⋮ Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data ⋮ Semiparametric estimation of moment condition models with weakly dependent data

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Generalized method of moments specification testing
• Nonparametric cointegration analysis
• A unified view of multitaper multivariate spectral estimation
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Hypothesis Testing with Efficient Method of Moments Estimation
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Simple Robust Testing of Regression Hypotheses
• Basic Considerations in the Estimation of Spectra

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