A theory of robust long-run variance estimation

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 1331-1352

  Müller, Ulrich K ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Bias; Functional central limit theorem; Heteroskedasticity and autocorrelation consistent (HAC) variance estimation; Qualitative robustness

Indexed keywords

ASYMPTOTIC ANALYSIS; BENCHMARKING; COMMERCE; GAUSSIAN DISTRIBUTION; MATHEMATICAL MODELS; PROBLEM SOLVING;

BENCHMARK MODEL; QUALITATIVE ROBUSTNESS; VARIANCE ESTIMATORS;

ROBUSTNESS (CONTROL SYSTEMS);

EID: 34848888001     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2007.01.019     Document Type: Article

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