메뉴 건너뛰기




Volumn 21, Issue 1, 2005, Pages 143-157

Nonparametric inference for unbalanced time series data

Author keywords

[No Author keywords available]

Indexed keywords


EID: 15744388217     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466605050097     Document Type: Article
Times cited : (3)

References (18)
  • 2
    • 0001758906 scopus 로고
    • Heteroskedasticity and autocorrelation consistent covariance matrix estimation
    • Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-858.
    • (1991) Econometrica , vol.59 , pp. 817-858
    • Andrews, D.W.K.1
  • 4
    • 0001081023 scopus 로고
    • Efficient estimation of linear functionals
    • Bickel, P., Y. Ritov, & J. Wellner (1991) Efficient estimation of linear functionals. Annals of Statistics 19, 1316-1346.
    • (1991) Annals of Statistics , vol.19 , pp. 1316-1346
    • Bickel, P.1    Ritov, Y.2    Wellner, J.3
  • 5
    • 84993900539 scopus 로고
    • A test for the number of factors in an approximate factor model
    • Connor, G. & R.A. Korajczyk (1993) A test for the number of factors in an approximate factor model. Journal of Finance 48, 1263-1291.
    • (1993) Journal of Finance , vol.48 , pp. 1263-1291
    • Connor, G.1    Korajczyk, R.A.2
  • 6
    • 0000354044 scopus 로고
    • On the estimation of regression coefficients in the case of an autocorrelated disturbance
    • Grenander, U. (1954) On the estimation of regression coefficients in the case of an autocorrelated disturbance. Annals of Mathematical Statistics 25, 252-272.
    • (1954) Annals of Mathematical Statistics , vol.25 , pp. 252-272
    • Grenander, U.1
  • 8
    • 0000383941 scopus 로고
    • Consistent covariance matrix estimation for dependent heterogenous processes
    • Hansen, B.E. (1992) Consistent covariance matrix estimation for dependent heterogenous processes. Econometrica 60, 967-972.
    • (1992) Econometrica , vol.60 , pp. 967-972
    • Hansen, B.E.1
  • 9
    • 0001420299 scopus 로고    scopus 로고
    • Consistency of kernel estimators of heteroskedastic and autocorrelated covariance matrices
    • de Jong, R.M. & J. Davidson (2000) Consistency of kernel estimators of heteroskedastic and autocorrelated covariance matrices. Econometrica 68, 407-423.
    • (2000) Econometrica , vol.68 , pp. 407-423
    • De Jong, R.M.1    Davidson, J.2
  • 10
    • 0347616308 scopus 로고
    • The comparison of means of sets of observations from sections of independent stochastic series
    • Jowett, G.H. (1955) The comparison of means of sets of observations from sections of independent stochastic series. Journal of the Royal Statistical Society, Series B 17, 208-227.
    • (1955) Journal of the Royal Statistical Society, Series B , vol.17 , pp. 208-227
    • Jowett, G.H.1
  • 12
    • 15744400327 scopus 로고    scopus 로고
    • Consistent testing for stochastic dominance under general sampling schemes
    • Yale University
    • Linton, O., E. Maasoumi, & Y.J. Whang (2003) Consistent Testing for Stochastic Dominance under General Sampling Schemes. Cowles Foundation Discussion paper, Yale University.
    • (2003) Cowles Foundation Discussion Paper
    • Linton, O.1    Maasoumi, E.2    Whang, Y.J.3
  • 14
    • 0000706085 scopus 로고
    • A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix
    • Newey, W.K. & K. West (1987) A simple positive semi-definite heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.2
  • 15
    • 15744396740 scopus 로고    scopus 로고
    • HAC estimation by automated regression
    • this issue
    • Phillips, P.C.B. (2005) HAC estimation by automated regression. Econometric Theory (this issue).
    • (2005) Econometric Theory
    • Phillips, P.C.B.1
  • 17
    • 15744394561 scopus 로고    scopus 로고
    • Robust covariance matrix estimation: "HAC" estimates with long memory/ antipersistence correction
    • this issue
    • Robinson, P.M. (2005) Robust covariance matrix estimation: "HAC" estimates with long memory/ antipersistence correction. Econometric Theory (this issue).
    • (2005) Econometric Theory
    • Robinson, P.M.1
  • 18
    • 0040670116 scopus 로고    scopus 로고
    • A nonparametric prewhitened covariance estimator
    • Xiao, Z. & O. Linton (2002) A nonparametric prewhitened covariance estimator. Journal of Time Series Analysis 23, 215-250.
    • (2002) Journal of Time Series Analysis , vol.23 , pp. 215-250
    • Xiao, Z.1    Linton, O.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.