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

Robinson, P. M. (2005) Robust covariance matrix estimation : 'HAC' estimates with long memory/antipersistence correction. Econometric Theory, 21 (1). pp. 171-180. ISSN 1469-4360

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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:	Article
Official URL:	http://uk.cambridge.org/journals/ect/
Additional Information:	Copyright © 2005 Cambridge University Press. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website.
Divisions:	Economics
Subjects:	H Social Sciences > HB Economic Theory
Date Deposited:	17 Feb 2008
Last Modified:	11 Dec 2024 22:55
URI:	http://eprints.lse.ac.uk/id/eprint/323

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