Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
type: Item
instance of: scholarly article
title: Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
zbMATH Open document ID: 1463.62265
author: Yiannis Karavias
author: Spyridon D. Symeonides
author: Elias Tzavalis
published in: Statistics \& Probability Letters
publication date: 2018-07-03T00:00:00Z
full work available at URL: KST OMEGA Nov 15.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62G35
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 6898151
zbMATH Keywords: linear regression
zbMATH Keywords: AR(1) disturbances
zbMATH Keywords: stochastic expansions
zbMATH Keywords: asymptotic approximations
zbMATH Keywords: autocorrelation robust inference
MaRDI profile type: Publication
OpenAlex ID: W2775457143
cites work: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
cites work: A Maximum Likelihood Procedure for Regression with Autocorrelated Errors
cites work: Useful invariance results for generalized regression models
cites work: Mean and autocovariance function estimation near the boundary of stationarity
cites work: BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP
cites work: Simple Robust Testing of Regression Hypotheses
cites work: Alternative size corrections for some GLS test statistics. The case of the \(AR(1)\) model
cites work: Automatic Lag Selection in Covariance Matrix Estimation
cites work: Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
cites work: Approximate Normality of Generalized Least Squares Estimates
cites work: Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
cites work: EDGEWORTH EXPANSIONS FOR SPECTRAL DENSITY ESTIMATES AND STUDENTIZED SAMPLE MEAN
DOI: 10.1016/J.SPL.2017.11.016
description: scientific article; zbMATH DE number 6898151