{"title":"GUEST EDITORS’ INTRODUCTION PART ONE: SPECIAL DUAL ISSUE OF ECONOMETRIC THEORY ON YALE 2018 CONFERENCE IN HONOR OF PETER C. B. PHILLIPS","authors":"D. Andrews, Y. Kitamura, G. Kuersteiner","doi":"10.1017/S0266466622000330","DOIUrl":null,"url":null,"abstract":"covariance matrix of time series with increasing dimension. Under a reasonable condition on cross-sectional dependence, it shows that the proposed estimator achieves desirable rates of convergence. It also offers inferential procedures for the mean vector of the time series based on the covariance matrix estimator, and obtains asymptotic normality results for suitably normalized versions of LM/Wald-type statistics.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"38 1","pages":"841 - 844"},"PeriodicalIF":1.0000,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/S0266466622000330","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
covariance matrix of time series with increasing dimension. Under a reasonable condition on cross-sectional dependence, it shows that the proposed estimator achieves desirable rates of convergence. It also offers inferential procedures for the mean vector of the time series based on the covariance matrix estimator, and obtains asymptotic normality results for suitably normalized versions of LM/Wald-type statistics.
Econometric TheoryMATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍：
Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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