Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices

By R. Jong, James Davidson. 2000

204 citations recorded by the source corpus.

Subfields: Statistical and Nonlinear Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bdc7b59f8eb2f0916f278b97feedc352059b23f3

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In Statistical and Nonlinear Physics

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Citations in the corpus

LIMITED TIME SERIES WITH A UNIT ROOT (2005, background): “…term!, and that Zl2 is a conventional sum-of-covariances ~SC! estimator of the form Zl2 : 1 T (j T 1 T 1 v jqT (t 6 j 6 1 T [ut [ut 6 j 6 (10) ~see, e+g+, de Jong and Davidson, 2000, and references therein!+ We further require the following assumption to hold ~see Jansson, 2002!+ Assumption K+ ~K1!”
Testing for Granger Causality with Mixed Frequency Data (2016, unknown): “See Andrews (1991) and de Jong and Davidson (2000).”
The Error in Rejection Probability of Simple Autocorrelation Robust Tests (2004, methodology): “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”
Rescaled variance and related tests for long memory in volatility and levels (2003, unknown): “Alternatively, appropriate mixing assumptions could be imposed (see Davidson and de Jong, 2000; Davidson, 2002).”
TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011, methodology): “Thus, from de Jong and Davidson (2000), we get a consistent estimator given in the first section of this Appendix.”
Detecting gradual changes in locally stationary processes (2013, methodology): “Specifically, we can employ HAC type estimation procedures as discussed in Andrews (1991) or de Jong and Davidson (2000) among others and work with an estimator of the form σ̂2(u, f, f ′) = ∞∑ l=−∞ K ( l b(T ) ) Γ̂l(u, f, f ′).”
THE MOVING BLOCKS BOOTSTRAP FOR PANEL LINEAR REGRESSION MODELS WITH INDIVIDUAL FIXED EFFECTS (2011, background): “Assumption 5 corresponds to Assumption 1 of de Jong and Davidson (2000).”
A robust version of the KPSS test based on indicators (2007, methodology): “(11) From Theorem 2, it follows that analogously to the “standard” KPSS statistic, (γT T −1)σ̂−2T−2 T∑ t=1 S2Tt d−→ D (12) for some random variable D that is distribution-free except for the multiplication factor∫∞ 0 k(α)dα.”
HAC estimation in a spatial framework (2007, methodology): “Contributions to this research in the econometrics literature include, among others, Newey and West (1987), Gallant and White (1988), Andrews (1991), Andrews and Monahan (1992), Pötscher and Prucha (1997) and de Jong and Davidson (2000).”
ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010, background): “(24) mn m0n ln Xt bm0n + E ln Xt bmn + = o(1=m ) 0 :”
Simple (but effective) tests of long memory versus structural breaks (2006, methodology): “The convergence˜s 2 (l) → p ω 2 has been shown under various conditions on the temporal dependence of u t (for example, Hansen (1992), de Jong and Davidson (2000)).”