This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the … it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …

modelling that enables stochastic structural change in model parameters and on model estimation by Bayesian or non …-parametric kernel methods. In the context of the estimation of covariance matrices of large dimensional panels, such data requires … applicable in econometric analysis beyond estimation of large covariance matrices. We discuss the utility of the robust …

We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly …

of asymptotic theory and the estimation of standard errors. The proposed robust confidence interval estimators permit a …