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Registro Completo |
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Biblioteca(s): |
Embrapa Agroindústria Tropical. |
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Data corrente: |
07/03/1994 |
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Data da última atualização: |
07/03/1994 |
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Autoria: |
ANDREWS, D. W. K. |
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Título: |
Heteroskedasticity and autocorrelation consistent covariance matrix estimation. |
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Ano de publicação: |
1991 |
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Fonte/Imprenta: |
Econometrica, v.59, n.3, p.817-858, May., 1991. |
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Idioma: |
Inglês |
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Conteúdo: |
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators they are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T -> oo that is sufficient for consistency. No results are available, however, regarding the choice of lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighting scheme. In consequence, available estimators are not entirely operational and the relative merits of the estimators are unknown. This paper addresses these problems. The asymtotic truncated mean squared errors of estimators in a given class are determined and compared. Asymptotically optimal kernel/weighting scheme and bandwidth/lag truncation parameters are obtained using an asymptotic truncated mean swuared error criterion. Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced. The finite sampleproperties of the estimators are analyzed via Monte Carlo simulation. |
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Palavras-Chave: |
Antocorrelacao; Covariancia; Densidade espectral; Erro; Series temporais. |
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Thesagro: |
Econometria. |
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Categoria do assunto: |
-- |
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Marc: |
LEADER 01785naa a2200193 a 4500
001 1417934
005 1994-03-07
008 1991 bl --- 0-- u #d
100 1 $aANDREWS, D. W. K.
245 $aHeteroskedasticity and autocorrelation consistent covariance matrix estimation.
260 $c1991
520 $aThis paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators they are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. Results in the literature provide a condition on the growth rate of the lag truncation parameter as T -> oo that is sufficient for consistency. No results are available, however, regarding the choice of lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighting scheme. In consequence, available estimators are not entirely operational and the relative merits of the estimators are unknown. This paper addresses these problems. The asymtotic truncated mean squared errors of estimators in a given class are determined and compared. Asymptotically optimal kernel/weighting scheme and bandwidth/lag truncation parameters are obtained using an asymptotic truncated mean swuared error criterion. Using these results, data-dependent automatic bandwidth/lag truncation parameters are introduced. The finite sampleproperties of the estimators are analyzed via Monte Carlo simulation.
650 $aEconometria
653 $aAntocorrelacao
653 $aCovariancia
653 $aDensidade espectral
653 $aErro
653 $aSeries temporais
773 $tEconometrica$gv.59, n.3, p.817-858, May., 1991.
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Registro original: |
Embrapa Agroindústria Tropical (CNPAT) |
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| 1. |  | PENEIRAS, A. B. V.; MAYER, L. L.; FRENSEL, K. D.; ARAÚJO, A. C. de; LUCENA, R.; ESCUDINI, H.; ANDREWS, D.; FONSECA, J. F. da; CARDOSO, E. da C.; BRANDÃO, F. Z. Retorno da ciclicidade de ovelhas lactantes da raça Santa Inês até 105 dias pós-parto com amamentação contínua dos cordeiros em clima tropical quente úmido. In: CONGRESSO BRASILEIRO DE REPRODUÇÃO ANIMAL, 21., 2015, Belo Horizonte. Anais... Belo Horizonte: CBRA, 2015. p. 188.| Tipo: Resumo em Anais de Congresso |
| Biblioteca(s): Embrapa Caprinos e Ovinos. |
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