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EBookClubs

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Book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

Download or read book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation written by Masayuki Hirukawa and published by . This book was released on 2004 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Kenneth D. West and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.

Book An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Download or read book An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Donald W. K. Andrews and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Finite sample Performance of the Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimators

Download or read book Finite sample Performance of the Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimators written by José Passos and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator with Improved Finite sample Properties

Download or read book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator with Improved Finite sample Properties written by José Passos and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix

Download or read book Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix written by Yixiao Sun and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment conditions. We establish its consistency, rate of convergence and asymptotic truncated mean squared error (MSE). Based on the asymptotic truncated MSE criterion, we derive the optimal bandwidth parameter and suggest its data dependent estimation procedure using a parametric plug-in method. The finite sample performances of the spatial HAC estimator are evaluated via Monte Carlo simulation.

Book Macroeconometrics and Time Series Analysis

Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Book A Simple Positive Semi definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Download or read book A Simple Positive Semi definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by Whitney K. Newey and published by . This book was released on 1986 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.

Book A Guide to Econometrics

Download or read book A Guide to Econometrics written by Peter Kennedy and published by John Wiley & Sons. This book was released on 2008-02-19 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.

Book Robust Covariance Matrix Estimation with Data dependent VAR Prewhitening Order

Download or read book Robust Covariance Matrix Estimation with Data dependent VAR Prewhitening Order written by Wouter J. Den Haan and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator.

Book Inferences from Parametric and Non parametric Covariance Matrix Estimation Procedures

Download or read book Inferences from Parametric and Non parametric Covariance Matrix Estimation Procedures written by Wouter J. Den Haan and published by . This book was released on 1996 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we propose a parametric spectral estimation procedure for constructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research, and we demonstrate that the parametric estimator converges at a faster rate than the kernel-based estimators proposed by Andrews and Monahan (1992) and Newey and West (1994). In finite samples, our Monte Carlo experiments indicate that the parametric estimator matches, and in some cases greatly exceeds, the performance of the prewhitened kernel estimator proposed by Andrews and Monahan (1992). These simulation experiments illustrate several important limitations of non-parametric HAC estimation procedures, and highlight the advantages of explicitly modeling the temporal properties of the error terms. Wouter J. den Haan Andrew Levin Depa.