Robust Covariance Matrix Estimation: Hac Estimates With Long Memory/antipersistence Correction
Year: 2005
Type: article
Abstract: Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can vary across the vector and be unknown.
Source: Econometric Theory
Author: P.M. Robinson
Institution: London School of Economics and Political Science
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2061345235