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Robust covariance matrix estimation : "HAC" estimates with long memory/antipersistence correction
Robinson, Peter M. - 2004
Persistent link: https://www.econbiz.de/10002034300
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Modeling memory of economic and financial time series
Robinson, Peter M. - In: The Singapore economic review : journal of the Economic … 50 (2005) 1, pp. 2-8
Persistent link: https://www.econbiz.de/10002806100
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The estimation of misspecified long memory models
Robinson, Peter M. - In: Journal of econometrics 178 (2014) 1, pp. 225-230
Persistent link: https://www.econbiz.de/10010256170
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Correlation testing in time series, spatial and cross-sectional data
Robinson, Peter M. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003401899
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Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels
Robinson, Peter M.; Henry, Mark S. - In: Econometric theory 15 (1999) 3, pp. 299-336
Persistent link: https://www.econbiz.de/10001434304
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Adaptive semiparametric estimation of the memory parameter
Giraitis, Liudas; Robinson, Peter M.; Samarov, Alexander - 2000
Persistent link: https://www.econbiz.de/10001444259
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Whittle pseudo-maximum likelihood estimation for nonstationary time series
Velasco, Carlos; Robinson, Peter M. - 2000
Persistent link: https://www.econbiz.de/10001482791
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A model for long memory conditional heteroscedasticity
Giraitis, Liudas; Robinson, Peter M.; Surgailis, Donatas - 2000
Persistent link: https://www.econbiz.de/10001490719
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Optimal spectral kernel for long-range dependent time series
Delgado, Miguel A.; Robinson, Peter M. - 1994
Persistent link: https://www.econbiz.de/10000902813
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Time series analysis : in memory of E. J. Hannan
Hannan, Edward J. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000981763