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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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Identification Number: 10.1017/S0266466605050115


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.

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Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Date Deposited: 17 Feb 2008
Last Modified: 20 Feb 2021 03:53

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