Consistent covariance matrix estimation for linear processes

Econometric Theory

Volumn 18, Issue 6, 2002, Pages 1449-1459

  Jansson, Michael ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036971953     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466602186087     Document Type: Article

References (11)

1. Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
2. Andrews, D.W.K. & J.C. Monahan (1992) An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953-966.
3. Hall, A. (2000) Covariance matrix estimation and the power of the overidentifying restrictions test. Econometrica 68, 1517-1527.
4. Hall, P. & C.C. Heyde (1980) Martingale Limit Theory and Its Application. New York: Academic Press.
5. Hansen, B.E. (1992) Consistent covariance matrix estimation for dependent heterogeneous processes. Econometrica 60, 967-972.
6. de Jong, R.M. & J. Davidson (2000) Consistency of kernel estimators of heteroscedastic and autocorrelated covariance matrices. Econometrica 68, 407-423.
7. Newey, W.K. & K.D. West (1994) Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61, 631-653.
8. Ng, S. & P. Perron (1996) The exact error in estimating the spectral density at the origin. Journal of Time Series Analysis 17, 379-408.
9. Park, J.Y. (1992) Canonical cointegrating regressions. Econometrica 60, 119-143.
10. Phillips, P.C.B. & B.E. Hansen (1990) Statistical inference in instrumental variables regression with I(1) variables. Review of Economic Studies 57, 99-125.
11. Robinson, P.M. (1991) Automatic frequency domain inference on semiparametric and nonparametric models. Econometrica 59, 1329-1363.