Lag order selection for an optimal autoregressive covariance matrix estimator
Year of publication: |
2010
|
---|---|
Authors: | Morales, Marco |
Published in: |
Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 37.2010, 5, p. 739-748
|
Publisher: |
Taylor & Francis Journals |
Subject: | Spectral density | covariance matrix | autoregressive | lag-order selection | statistical inference |
-
Empirical properties of large covariance matrices
Zumbach, Gilles, (2011)
-
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, Donald W.K., (1988)
-
Time series analysis : textbook for students of economics and business administration ; [part 2]
Strohe, Hans Gerhard, (2004)
- More ...
-
Hansen, Erwin, (2019)
-
An analysis of money's worth ratios in Chile
Thorburn, Craig, (2006)
-
Measuring TFP : a latent variable approach
Fuentes S. M., J. Rodrigo, (2007)
- More ...