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Automatic lag selection in covariance matrix estimation. (English) Zbl 0815.62063
Summary: We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one that is optimal under a mean-squared error loss function. Monte Carlo simulations suggest that our procedure performs tolerably well, although it does result in size distortions.

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
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