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Two estimators of the long-run variance : beyond short memory

Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 150 (2009) 1, pp. 56-70

Persistent link: https://www.econbiz.de/10003847512

Nonstationarity-extended local Whittle estimation

Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 141 (2007) 2, pp. 1353-1384

Persistent link: https://www.econbiz.de/10003571465

Asymptotic normality for weighted sums of linear processes

Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas; … - In: Econometric theory 30 (2014) 1, pp. 252-284

Persistent link: https://www.econbiz.de/10010399779

An I(d) model with trend and cycles

Abadir, Karim Maher; Distaso, Walter; Giraitis, Liudas - In: Journal of econometrics 163 (2011) 2, pp. 186-199

Persistent link: https://www.econbiz.de/10009270611

Nonstationarity-extended local Whittle estimation

Abadir, Karim M.; Distaso, Walter; Giraitis, Liudas - In: Journal of Econometrics 141 (2007) 2, pp. 1353-1384

Persistent link: https://www.econbiz.de/10005239053

Two estimators of the long-run variance: Beyond short memory

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...

Persistent link: https://www.econbiz.de/10005022964