Search Results - subject:"HAC estimation"

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

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

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

Autoregressive spatial spectral estimates

Gupta, Abhimanyu - In: Journal of econometrics 203 (2018) 1, pp. 80-95

Persistent link: https://www.econbiz.de/10011974618

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

Small-sample inference with spatial HAC estimators

Dorn, Sabrina; Egger, Peter H. - In: Economics Letters 125 (2014) 2, pp. 236-239

This paper examines the small-sample performance of spatial HAC (SHAC) estimators of the standard errors on parameters. We find that, in small to moderately-sized datasets, the use of HAC estimators may be recommended only with a relatively large degree of cross-sectional interdependence.

Persistent link: https://www.econbiz.de/10011076553

Small-sample inference with spatial HAC estimators

Dorn, Sabrina; Egger, Peter - In: Economics letters 125 (2014) 2, pp. 236-239

Persistent link: https://www.econbiz.de/10010505357