Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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...
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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...
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The need to estimate variance-covariance matrix in a time series regression arises often in economic applications involving macroeconomic or finance data. In this paper, we study the behavior of two most popular covariance matrix estimators, namely the Kiefer, Vogelsang and Bunzel kernel estimator without truncation (Kiefer, Vogelsang and Bunzel 2000, KVB thereafter) and standard consistent ker...
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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...
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The performance of a kernel HAC estimator depends on the accuracy of the estimation of the normalized curvature, an unknown quantity in the optimal bandwidth represented as the spectral density and its derivative. This paper proposes to estimate it with a general class of kernels. The AMSE of the kernel estimator and the AMSE-optimal bandwidth are derived. It is shown that the optimal bandwidth...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1991
ISSN: 0012-9682
DOI: 10.2307/2938229