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This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series. CIs for the long-memory parameter d_0 are included. The results establish that the bootstrap...
Persistent link: https://www.econbiz.de/10005464054
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