AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
نویسندگان
چکیده
منابع مشابه
Automatic positive semi-definite HAC covariance matrix and GMM estimation
This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method re-weights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function based weights. The resultant HAC covariance matrix estimator is the normalised outer product of the smoothed random vectors and is therefore automatically positive sem...
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We propose computing HAC covariance matrix estimators based on one-stepahead forecasting errors. It is shown that this estimator is consistent and has smaller bias than other HAC estimators. Moreover, the tests that rely on this estimator have more accurate sizes without sacrificing its power.
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Time series are among the most prevalent forms of data we encounter in the real world, whether it be a sequence of audio, biomedical, demographic, climate, or financial measurements. Covariance estimation, where we try to estimate the covariance matrix of a time series, is a classic and important problem that can provide us predictive power in many applications. The vast majority of covariance ...
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Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasticity-consistent (HC) and heteroskedasticity and autocorrelation consistent (HAC) estimators have ...
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HAC estimators are known to produce test statistics that reject too frequently in finite samples. One neglected reason comes from using the OLS residuals when constructing the HAC estimator. If the regression matrix contains high leverage points, such as from outliers, then the OLS residuals will be negatively biased. This reduces the variance of the OLS residuals and the HAC estimator takes th...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2005
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466605050103