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Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction

Robinson, Peter M. (2004) Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction. Econometrics; EM/2004/471 (EM/04/471). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can vary across the vector and be unknown.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2004 Peter M Robinson
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Date Deposited: 27 Apr 2007
Last Modified: 13 Sep 2024 19:52
URI: http://eprints.lse.ac.uk/id/eprint/2157

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