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ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
1994Semiparametric Analysis of Long-Memory Time Series468 cited
1998The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series340 cited
2002Determination of cointegrating rank in fractional systems241 cited
1996Bandwidth Choice in Gaussian Semiparametric Estimation of Long Range Dependence130 cited

Cited by

2014HAC Corrections for Strongly Autocorrelated Time Series118 cited
2011Asymptotic theory for nonparametric regression with spatial data103 cited
2008Multiple local whittle estimation in stationary systems90 cited
2009Two estimators of the long-run variance: Beyond short memory45 cited
2011FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY17 cited

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