Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
暂无分享,去创建一个
[1] D. McLeish. A Maximal Inequality and Dependent Strong Laws , 1975 .
[2] H. White. Asymptotic theory for econometricians , 1985 .
[3] G. Casella,et al. Statistical Inference , 2003, Encyclopedia of Social Network Analysis and Mining.
[4] P. Phillips. Testing for a Unit Root in Time Series Regression , 1988 .
[5] Jan Kmenta,et al. Estimation of the Covariance Matrix of the Least-Squares Regression Coefficients When the Disturbance Covariance Matrix Is of Unknown Form , 1991, Econometric Theory.
[6] W. Newey,et al. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix , 1986 .
[7] P. Phillips,et al. Asymptotic Properties of Residual Based Tests for Cointegration , 1990 .
[8] P. Robinson,et al. AUTOMATIC FREQUENCY DOMAIN INFERENCE ON SEMIPARAMETRIC AND NONPARAMETRIC MODELS , 1991 .
[9] P. Phillips. Time series regression with a unit root , 1987 .
[10] L. Hansen. Large Sample Properties of Generalized Method of Moments Estimators , 1982 .
[11] Robert Serfling,et al. Contributions to Central Limit Theory for Dependent Variables , 1968 .
[12] D. Andrews. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation , 1991 .
[13] Donald W. K. Andrews,et al. Inference in Nonlinear Econometric Models with Structural Change , 1988 .
[14] Bruce E. Hansen,et al. Strong Laws for Dependent Heterogeneous Processes , 1991, Econometric Theory.