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ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION

Published online by Cambridge University Press:  08 February 2005

P.M. Robinson
P.M. Robinson
Affiliation:
London School of Economics
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Abstract

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can vary across the vector and be unknown.

Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 1 , February 2005 , pp. 171 - 180
Copyright
© 2005 Cambridge University Press

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