Robust covariance matrix estimation : HAC estimates with long memory/antipersistence correction
P. M. Robinson
| Year of publication: |
2005
|
|---|---|
| Authors: | Robinson, Peter M. |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 21.2005, 1, p. 171-180
|
| Subject: | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002674673