CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

By Michael Jansson. Econometric Theory, 2002

117 citations recorded by the source corpus.

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Citations in the corpus

Robust Spectral Analysis (2011, background): “More recently, Chernozhukov, Hansen, and Jansson (2009) use it to construct finite sample confidence intervals for quantile regression estimators. By choosing the number of Monte Carlo repetitions R large enough, the quantiles of the null distribution of ̃ CM n,τ can be approximated with arbitrary ”
GEL CRITERIA FOR MOMENT CONDITION MODELS (2011, unknown): “Neither the square integrability condition ∫∞−∞ k∗(x)2dx < ∞ in Andrews (1991, (2.6), p. 821) nor the stronger absolute integrability condition ∫∞−∞ ∣∣k∗(x)∣∣dx < ∞ in Andrews and Monahan (1992, (2.5), p. 955) is sufficient for the consistency results claimed in those papers; see Jansson (2002).”
The Error in Rejection Probability of Simple Autocorrelation Robust Tests (2004, background): “The standard approach is to base inference on a test statistic of the form FHAC = T(β̂−β0) 2 ω̂2HAC where ω̂2HAC is a consistent estimator of ω 2 the long-run variance of ut Although consistent estimators of ω2 are available under conditions resembling Assumption A1 (e.g., Andrews (1991), Andrews an”
Tests for changing mean with monotonic power (2009, methodology): “Assumption 3. k(·) satisfies Assumption A3 in Jansson (2002).”
Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors (2009, background): “Under Assumptions 1 and 2, it is shown that when ρ is fixed, the centered estimators have the same limiting distributions as given by (4) and (11).”
SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS (2009, background): “Similarly, unmodeled trend breaks also cause spurious rejections in stationarity tests, such as that of Kwiatkowski et al. (1992; KPSS, hereafter). Where the potential trend break date is known, Perron (1989) shows that pivotal unit root inference can be achieved by including appropriate dummy varia”
SEQUENTIAL TESTING FOR THE STABILITY OF HIGH-FREQUENCY PORTFOLIO BETAS (2011, methodology): “Extensions and modifications of these methods may be found in Newey and West (1987), Andrews and Monahan (1992), Jansson (2002), Phillips (2005), Smith (2005), and Liu and Wu (2010).”
ASYMPTOTICS OF SPECTRAL DENSITY ESTIMATES (2009, background): “Jansson (2002) considered the consistency of covariance matrix estimation for linear process with ηn being Rd -valued martingale differences.”
GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION (2006, background): “…for weakly dependent data+ Assumption 4 contains standard conditions for ST and k~{!+ The condition 1 6 _ d is required in the proof of Lemma 2~iii! in the Appendix+ The last part of Assumption 4~ii! is required to avoid pathological cases ~see Jansson, 2002!+ Let k* [ k2 0k12 , M2b [ ]m2~a02,b0!”
A simple, robust and powerful test of the trend hypothesis (2007, background): “The pertinent features of these ndings are that z0 does not control size under H0 when ut is I(1) (its asymptotic size is unity), and z1 does not control size when ut is I(0) (its asymptotic size is zero).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, background): “Hence, it is only left to derive the limit of λ̂2, which can be done by adapting the proof of Theorem 2 in Jansson (2002), which deals with the constant volatility case, to the present nonstationary volatility framework.”
STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS (2005, methodology): “…1115 Assumption K is sufficiently general for our purposes as it is satisfied by many of the most commonly employed kernels ~see Hansen, 1992a; Jansson, 2002!+ Remark 3+ The KPSS statistic maps the sequence $ ZSt % onto @0,1# by averaging the squared values of the sequence+ Other…”
Improving Size and Power in Unit Root Testing (2005, background): “33) holds with ‘f ðeÞ 1⁄4 q log f ðe yÞ=qyjy1⁄40, while Jansson (2005) shows that differentiability in quadratic mean, an even weaker condition, is sufficient.”
COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE (2011, methodology): “Detailed discussions and sets of assumptions are given in, e.g., Phillips (1995) or Jansson (2002).”
Optimal Bandwidth Selection in Heteroskedasticity-Autocorrelation Robust Testing∗ (2005, background): “Jansson (2002) provides a recent overview and weak conditions for consistency of such estimates.”
Integrated modified OLS estimation and fixed-b inference for cointegrating regressions (2014, methodology): “It turns out (see Theorem 3 below) that σ̃2u·v is not consistent under standard assumptions on bandwidth and kernel as discussed e.g. in Jansson (2002).”