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Automatic positive semidefinate HAC covariance matrix and GMM estimation
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Smith, Richard J. (2005) Automatic positive semidefinate HAC covariance matrix and GMM estimation. Econometric Theory, Vol.21 (No.1). pp. 158-170. doi:10.1017/S0266466605050103 ISSN 0266-4666.
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Official URL: http://dx.doi.org/10.1017/S0266466605050103
Abstract
This paper proposes a new class of heteroskedastic and autocorrelation consistent (HAC) covariance matrix estimators. The standard HAC estimation method reweights estimators of the autocovariances. Here we initially smooth the data observations themselves using kernel function–based weights. The resultant HAC covariance matrix estimator is the normalized outer product of the smoothed random vectors and is therefore automatically positive semidefinite. A corresponding efficient GMM criterion may also be defined as a quadratic form in the smoothed moment indicators whose normalized minimand provides a test statistic for the overidentifying moment conditions.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Analysis of covariance, Estimation theory, Econometrics, Heteroscedasticity, Equivalence relations (Set theory) | ||||
Journal or Publication Title: | Econometric Theory | ||||
Publisher: | Cambridge University Press | ||||
ISSN: | 0266-4666 | ||||
Official Date: | February 2005 | ||||
Dates: |
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Volume: | Vol.21 | ||||
Number: | No.1 | ||||
Page Range: | pp. 158-170 | ||||
DOI: | 10.1017/S0266466605050103 | ||||
Status: | Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
Data sourced from Thomson Reuters' Web of Knowledge
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