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

By Peter M. Robinson. Econometric Theory, 2004

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Estimation of fractionally integrated panels with fixed effects and cross-section dependence (2015, unknown): “Consistent estimates of the asymptotic variance of ˆ β i (δ ) could be designed adapting the methods of Robinson and Hidalgo (1997) and Robinson (2005) in terms of projected observations after factor elimination and residual series.”
Long-Range Dependent Curve Time Series (2020, background): “However, in the latter case, Robinson (1994, 2005) and Abadir, Distaso, and Giraitis (2009) developed and justify suitable studentizations, depending in part on consistent estimates of H (indeed these apply also to “antipersistent” series I(d) with −1/2 d 0, i.e., 0 H 1/2, where the…”
Asymptotic theory for nonparametric regression with spatial data (2011, background): “However, at least for stationary Vi; proposals of Robinson (2005) in the long range dependent time series case may be extendable.”
HAC Corrections for Strongly Autocorrelated Time Series (2014, background): “Robinson (2005) derives such consistent LRV estimators under the assumption that the underlying persistence is of the “fractional” type.”