Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models-Reference-Cited by-同舟云学术

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Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

Published:2022-05 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Casini Alessandro

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference87 articles.

1. Strong rules for detecting the number of breaks in a time series;Altissimo;J. Econometrics,2003

2. The Stastical Analysis of Time Series;Anderson,1971

3. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

4. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica,1992

5. Estimating and testing linear models with multiple structural changes;Bai;Econometrica,1998

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1. Change-point analysis of time series with evolutionary spectra;Journal of Econometrics;2024-06

2. Prewhitened long-run variance estimation robust to nonstationarity;Journal of Econometrics;2024-05

3. Mean stationarity test in time series: A signal variance-based approach;Bernoulli;2024-05-01

4. Detecting Multiple Level Shifts in Bounded Time Series;Journal of Business & Economic Statistics;2024-02-26

5. ASYMPTOTICS FOR TIME-VARYING VECTOR MA() PROCESSES;Econometric Theory;2024-01-09

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