Prewhitened long-run variance estimation robust to nonstationarity
Alessandro Casini, Pierre Perron
| Year of publication: |
2024
|
|---|---|
| Authors: | Casini, Alessandro ; Perron, Pierre |
| Subject: | Asymptotic minimax MSE | Data-dependent bandwidths | HAC | HAR | Long-run variance | Nonstationarity | Prewhitening | Spectral density | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Heteroskedastizität | Heteroscedasticity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2024.105794 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075216