HAC ESTIMATION BY AUTOMATED REGRESSION

By Peter C. B. Phillips. Econometric Theory, 2005

124 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/60b674bb1420737f39e233d8786c8160133e5696

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

In Statistics and Probability

Citations in the corpus

BUSINESS CYCLES, TREND ELIMINATION, AND THE HP FILTER (2020, methodology): “…= ∞∑ j=0 cjεt−j , ∞∑ j=0 j |cj | ∞, C(1) 6= 0, 13 For general discussion, definition of trends, and the limited forms presently used in economic modeling, readers are referred to Phillips (1998, 2001a, 2003, 2005a, 2010a, 2010b, 2012), Shimotsu and Phillips (2005), and White and Granger (2011).”
Nonparametric stochastic discount factor decomposition (2014, methodology): “This approach is inspired by earlier work of Chen, Hansen, and Scheinkman (2000) on nonparametric estimation of diffusion processes. Sieve methods are useful in this context as they reduce an intractable, infinite-dimensional eigenfunction problem to a low-dimensional matrix eigenvector problem whic”
Low-Frequency Econometrics (2015, background): “…studies inconsistent long-run variance estimators (see Kiefer, Vogelsang, and Bunzel (2000) and Kiefer and Vogelsang (2002, 2005), Jansson (2004), Phillips (2005), Sun, Phillips, and Jin (2008), Phillips, Sun and Jin (2006, 2007) and Gonçalves and Vogelsang (2011), and Müller (2014) for a recent…”
Optimal Estimation of Cointegrated Systems with Irrelevant Instruments (2014, unknown): “…instruments in some cases) through the use of large numbers of instruments and moment conditions. memory estimator that is applicable in both stationary and nonstationary cases in a manner that is analogous to the frequency domain approach studied recently by Shimotsu and Phillips (2005).”
Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter (2011, methodology): “The bias term here is di¤erent from that given in Theorem 1(i) in Phillips (2005).”
Should we go one step further? An accurate comparison of one-step and two-step procedures in a generalized method of moments framework (2018, methodology): “For its theoretical development and related simulation evidence, see, for example, Phillips (2005), Müller (2007), Sun (2011, 2013) and Sun and Kim (2015).”
HAC Corrections for Strongly Autocorrelated Time Series (2014, background): “Similar approaches, for potentially different weighted averages, are pursued in Phillips (2005) and Sun (2013).”