Autocorrelation robust inference using the Daniell kernel with fixed bandwidth

Javier Hualde and Fabrizio Iacone

Discussion Papers from Department of Economics, University of York

Abstract: We consider alternative asymptotics for frequency domain estimates of the long run variance, in which the bandwidth is kept fixed. For a weakly dependent process, this does not yield a consistent estimateof the long run variance, but the standardized mean has t limit distribution, which, for any given bandwidth, appears to be more precise than the traditional Gaussian limit. In presence of fractionally integrated data, the limit distribution of the estimate is not standard, and we derive critical values for the standardized mean for various bandwidths. Again, we find that this asymptotic result provides a better approximation than other proposals like the Memory Autocorrelation Consistent (MAC) estimate. In multivariate set up, fixed bandwidth asymptotics may be also used to provide a characterization to the limit distribution of estimates of cointegrating parameter which differs substantially from the conventional Narrow Band asymptotics.

Keywords: long run variance estimation; long memory; large-m and fixed-masymptotic theory (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2015-08
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ger
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2015/1514.pdf Main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:15/14

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().