Search Results - subject:"HAC estimation"

Robust inference under time‐varying volatility: A real‐time evaluation of professional forecasters

Demetrescu, Matei; Hanck, Christoph; Kruse‐Becher, … - In: Journal of Applied Econometrics 37 (2022) 5, pp. 1010-1030

In many forecast evaluation applications, standard tests as well as tests allowing for time‐variation in relative forecast ability build on heteroskedasticity‐and‐autocorrelation consistent (HAC) covariance estimators. Yet, the finite‐sample performance of these asymptotics is often...

Persistent link: https://www.econbiz.de/10013383877

Robust inference under time-varying volatility : a real-time evaluation of professional forecasters

Demetrescu, Matei; Hanck, Christoph; Kruse-Becher, Robinson - In: Journal of applied econometrics 37 (2022) 5, pp. 1010-1030

Persistent link: https://www.econbiz.de/10013464645

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics 5 (2017) 1, pp. 1-16

-established alternative algorithms. The cumulative effect is substantial if the HAC estimation problem has to be solved repeatedly. Moreover …This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC …) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast …

Persistent link: https://www.econbiz.de/10011755358

A fast algorithm for the computation of HAC covariance matrix estimators

Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics : open access journal 5 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011653828

Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications

Phillips, Peter C.B.; Liao, Zhipeng - Cowles Foundation for Research in Economics, Yale University - 2012

This paper overviews recent developments in series estimation of stochastic processes and some of their applications in econometrics. Underlying this approach is the idea that a stochastic process may under certain conditions be represented in terms of a set of orthonormal basis functions,...

Persistent link: https://www.econbiz.de/10010817212

"Assessing agglomeration economies in a spatial framework with endogenous regressors"

Artis, Michael J.; Miguélez, Ernest; Morenos, Rosina - Facultat d'Economia i Empresa, Universitat de Barcelona - 2011

This paper is concerned with the influence of agglomeration economies on economic outcomes across British regions. The concentration of economic activity in one place can foster economic performance due to the reduction in transportation costs, the ready availability of customers and suppliers,...

Persistent link: https://www.econbiz.de/10009194518

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Sun, Yixiao; Phillips, Peter C.B.; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2010

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...

Persistent link: https://www.econbiz.de/10008493456

Improved HAR Inference

Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005

Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...

Persistent link: https://www.econbiz.de/10005464005

A New Approach to Robust Inference in Cointegration

Jin, Sainan; Phillips, Peter C.B.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2005

A new approach to robust testing in cointegrated systems is proposed using nonparametric HAC estimators without truncation. While such HAC estimates are inconsistent, they still produce asymptotically pivotal tests and, as in conventional regression settings, can improve testing and inference....

Persistent link: https://www.econbiz.de/10005593449

Nonparametric inference for unbalanced time series data

Linton, Oliver Bruce - 2004

Estimation of heteroskedasticity and autocorrelation consistent covariance matrices (HACs) is a well established problem in time series. Results have been established under a variety of weak conditions on temporal dependence and heterogeneity that allow one to conduct inference on a variety of...

Persistent link: https://www.econbiz.de/10010318468