LOGIN TO YOUR ACCOUNT

Username
Password
Remember Me
Or use your Academic/Social account:

CREATE AN ACCOUNT

Or use your Academic/Social account:

Congratulations!

You have just completed your registration at OpenAire.

Before you can login to the site, you will need to activate your account. An e-mail will be sent to you with the proper instructions.

Important!

Please note that this site is currently undergoing Beta testing.
Any new content you create is not guaranteed to be present to the final version of the site upon release.

Thank you for your patience,
OpenAire Dev Team.

Close This Message

CREATE AN ACCOUNT

Name:
Username:
Password:
Verify Password:
E-mail:
Verify E-mail:
*All Fields Are Required.
Please Verify You Are Human:
fbtwitterlinkedinvimeoflicker grey 14rssslideshare1
Smith, Richard J. (2005)
Publisher: Cambridge University Press
Languages: English
Types: Article
Subjects: QA, HB
This paper proposes a new class of heteroskedastic and autocorrelation consistent (HAC) covariance matrix estimators. The standard HAC estimation method reweights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function–based weights. The resultant HAC covariance matrix estimator is the normalized outer product of the smoothed random vectors and is therefore automatically positive semidefinite. A corresponding efficient GMM criterion may also be defined as a quadratic form in the smoothed moment indicators whose normalized minimand provides a test statistic for the overidentifying moment conditions.
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • Proof of Theorem 3.1. As V is p+d+ from Assumption 3+1~d!, VZ T ~ bD ! is p+d+ and invertible w+p+a+1+ Let g~ b! [ E @ g~zt , b!# + Under Assumption 2+1, $ g~zt , b0 !%t` 1 is a stationary and a-mixing sequence ~White, 1984, Theorem 3+49, p+ 47! and, thus, ergodic ~White, 1984, Proposition 3+44, p+ 46!+ By a uniform weak law of numbers ~Smith, 2001, Lemma A+1!, if Assumptions 2+1-2+3 and 3+1 hold, supb B 7ST 1 g[ T ~ b! k1 g~ b!7 op~1! and g~ b! is continuous by the strictly stationary and ergodic version of Lemma 2+4 in Newey and McFadden ~1994, p+ 2129!+ Let Q~ b! g~ b!'V 1g~ b!+ Then, by Assumption 3+1~a!, Q ~ b ! is uniquely minimized at b0 and is continuous in b B+ Therefore, as lmin@VZ T ~ bD !# 0 w+p+a+1 where lmin@VZ T ~ bD !# is the smallest eigenvalue of VZ T ~ bD !, uniformly b p+ 2121!+ B+ The result follows by Theorem 2+1 in Newey and McFadden ~1994,
  • No related research data.
  • No similar publications.

Share - Bookmark

Cite this article