Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 150 (2009) 1, pp. 56-70
This paper deals with the estimation of the long-run variance of a stationary sequence. We extend the usual Bartlett-kernel heteroskedasticity and autocorrelation consistent (HAC) estimator to deal with long memory and antipersistence. We then derive asymptotic expansions for this estimator and...