Showing 1 - 3 of 3
The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...
Persistent link: https://www.econbiz.de/10004990777
This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix …
Persistent link: https://www.econbiz.de/10005762589
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and …
Persistent link: https://www.econbiz.de/10005762692