{"title":"计量经济学中长期方差估计的滞后阶数选择","authors":"Marco Morales","doi":"10.1080/07474938.2024.2364488","DOIUrl":null,"url":null,"abstract":"Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"58 1","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2024-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Lag order selection for long-run variance estimation in econometrics\",\"authors\":\"Marco Morales\",\"doi\":\"10.1080/07474938.2024.2364488\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...\",\"PeriodicalId\":11438,\"journal\":{\"name\":\"Econometric Reviews\",\"volume\":\"58 1\",\"pages\":\"\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-07-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Reviews\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/07474938.2024.2364488\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Reviews","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/07474938.2024.2364488","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Lag order selection for long-run variance estimation in econometrics
Estimating the long-run variance (LRV) is crucial for several econometric issues. Constructing reliable heteroskedasticity autocorrelation consistent (HAC) variance-covariance matrices and implemen...
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Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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