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Search: subject:"Long-run variance"
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Estimation theory
44
Schätztheorie
44
Time series analysis
34
Zeitreihenanalyse
34
Long-run variance
19
Statistical test
15
Statistischer Test
15
long-run variance
13
Asymptotic expansion
10
Autocorrelation
9
Autokorrelation
9
Estimation
9
HAC estimator
9
Long run variance estimator
9
Schätzung
9
Long run variance
8
Market frictions
8
Quadratic variation
8
Realised variance
8
Bias
7
Cointegration
7
Regression analysis
7
Regressionsanalyse
7
Volatility
7
Volatilität
7
long run variance
7
Kointegration
6
Multicointegration
6
F distribution
5
F-distribution
5
Forecasting model
5
Heteroscedasticity
5
Heteroskedastizität
5
Long-run variance estimation
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Prognoseverfahren
5
long run variance estimation
5
HAC
4
HAR inference
4
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Online availability
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Free
59
Undetermined
29
CC license
1
Type of publication
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Book / Working Paper
60
Article
42
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Article in journal
33
Aufsatz in Zeitschrift
33
Working Paper
19
Graue Literatur
15
Non-commercial literature
15
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14
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2
Aufsatz im Buch
1
Book section
1
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English
76
Undetermined
25
Hungarian
1
Author
All
Sun, Yixiao
26
Phillips, Peter C.B.
13
Barndorff-Nielsen, Ole E.
11
Shephard, Neil
11
Jin, Sainan
10
Phillips, Peter C. B.
9
Hansen, Peter Reinhard
8
Lunde, Asger
8
Liao, Zhipeng
6
Chen, Xiaohong
5
Kheifets, Igor L.
5
Casini, Alessandro
4
Iacone, Fabrizio
4
Vogelsang, Timothy J.
4
Harvey, David I.
3
Jönsson, Kristian
3
Kruse, Robinson
3
Leschinski, Christian
3
Will, Michael
3
Choi, Chi-Young
2
Coroneo, Laura
2
Hualde, Javier
2
Kara, Alper
2
Leybourne, Stephen J.
2
Linton, Oliver
2
Liu, Ruobing
2
Müller, Ulrich K.
2
Perron, Pierre
2
Ruan, Chuan-Yang
2
Shao, Xiaofeng
2
Stock, James H.
2
Sul, Donggyu
2
Taylor, A. M. Robert
2
Tunç, Gül Ipek
2
Wagner, Martin
2
Wilhelm, Daniel
2
Wu, Jilin
2
Yang, Jianhui
2
Yang, Jingjing
2
Zhang, Xianyang
2
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Cowles Foundation for Research in Economics, Yale University
11
Department of Economics, University of California-San Diego (UCSD)
5
Department of Economics, Oxford University
3
School of Management, Yale University
3
Economics Group, Nuffield College, University of Oxford
2
Finance Research Centre, Oxford University
2
Granger Centre for Time Series Econometrics, School of Economics
2
HAL
2
Nationalekonomiska Institutionen, Ekonomihögskolan
2
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Econometric Society
1
Graduate School of Economics, Hitotsubashi University
1
Institute of Economic Research, Hitotsubashi University
1
School of Economics and Management, University of Aarhus
1
School of Economics and Political Science, Universität St. Gallen
1
University of California, San Diego / Department of Economics
1
Vanderbilt University Department of Economics
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Cowles Foundation Discussion Papers
11
Journal of econometrics
10
Economics letters
7
University of California at San Diego, Economics Working Paper Series
5
Cowles Foundation discussion paper
3
Discussion papers in economics
3
Economics Series Working Papers / Department of Economics, Oxford University
3
Journal of Econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Yale School of Management Working Papers
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
Discussion Papers / Granger Centre for Time Series Econometrics, School of Economics
2
Econometric reviews
2
Economics Letters
2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
OFRC Working Papers Series
2
Post-Print / HAL
2
Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
2
cemmap working paper
2
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
CREATES Research Papers
1
Discussion Papers / Graduate School of Economics, Hitotsubashi University
1
Discussion paper / LSE Financial Markets Group
1
Discussion papers / Graduate School of Economics, Hitotsubashi University
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
ERC working papers in economics
1
Econometric Society 2004 North American Winter Meetings
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Empirical Economics
1
Essays in honor of Joon Y. Park : econometric theory
1
Global COE Hi-Stat Discussion Paper Series
1
Hannover Economic Papers (HEP)
1
International Journal of Financial Studies
1
International Journal of Financial Studies : open access journal
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
49
RePEc
46
EconStor
7
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102
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1
Understanding regressions with observations collected at high frequency over long span
Chang, Yoosoon
;
Lu, Ye
;
Park, Joon Y.
- In:
Quantitative economics : QE ; journal of the …
16
(
2025
)
2
,
pp. 405-457
test with an appropriate
long‐run
variance
estimate. This is supported, strongly and unambiguously, by our empirical …
Persistent link: https://www.econbiz.de/10015423089
Saved in:
2
HAR inference for quantile regression in time series
Hwang, Jungbin
;
Valdés, Gonzalo
-
2025
Persistent link: https://www.econbiz.de/10015445619
Saved in:
3
Positive-definite converging Kernel estimation of
long-run
variance
Liu, Xu
;
Chan, Kin Wai
- In:
Journal of business & economic statistics : JBES ; a …
43
(
2025
)
4
,
pp. 835-849
Persistent link: https://www.econbiz.de/10015534442
Saved in:
4
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments
Sun, Yixiao
;
Phillips, Peter C. B.
;
Kheifets, Igor L.
-
2024
Persistent link: https://www.econbiz.de/10015077063
Saved in:
5
Robust inference on infinite and growing dimensional time-series regression
Gupta, Abhimanyu
;
Seo, Myung Hwan
- In:
Econometrica : journal of the Econometric Society, an …
91
(
2023
)
4
,
pp. 1333-1361
Persistent link: https://www.econbiz.de/10014365440
Saved in:
6
Estimation and inference in a possibly multicointegrated system with a fixed number of instruments
Sun, Yixiao
;
Phillips, Peter C. B.
;
Kheifets, Igor L.
- In:
Economics letters
250
(
2025
),
pp. 1-6
Persistent link: https://www.econbiz.de/10015464017
Saved in:
7
Adjusted-range-based self-normalized autocorrelation tests
Sun, Jiajing
;
Zhu, Meiting
;
Linton, Oliver
- In:
Economics letters
251
(
2025
),
pp. 1-5
Persistent link: https://www.econbiz.de/10015464267
Saved in:
8
Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
Casini, Alessandro
-
2022
Persistent link: https://www.econbiz.de/10013255861
Saved in:
9
Lag order selection for
long-run
variance
estimation in econometrics
Morales, Marco
- In:
Econometric reviews
43
(
2024
)
10
,
pp. 774-795
Persistent link: https://www.econbiz.de/10015196420
Saved in:
10
The fixed-b limiting distribution and the ERP of HAR tests under nonstationarity
Casini, Alessandro
- In:
Journal of econometrics
238
(
2024
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10015073915
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