A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
نویسندگان
چکیده
منابع مشابه
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix
This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment conditions. We establish its consistency, rate of convergence and asymptotic truncated mean squared err...
متن کاملWavelet-based Estimation of Heteroskedasticity and Autocorrelation Consistent Covariance Matrices
As is well-known, a heteroskedasticity and autocorrelation consistent covariance matrix is proportional to a spectral density matrix at frequency zero and can be consistently estimated by such popular kernel methods as those of Andrews-Newey-West. In practice, it is di¢cult to estimate the spectral density matrix if it has a peak at frequency zero, which can arise when there is strong autocorre...
متن کاملAutomatic positive semi-definite HAC covariance matrix and GMM estimation
This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is the normalised outer product of the smoothed random vectors and is therefore automatically positive sem...
متن کاملHeteroskedasticity - and - Autocorrelation - Consistent Bootstrapping
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances, where the heteroskedasticity and autocorrelation are of unknown form. A particular version of the wild bootstrap can be shown to work v...
متن کاملA Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometrica
سال: 1987
ISSN: 0012-9682
DOI: 10.2307/1913610