A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators

A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that our a...

Full description

Bibliographic Details
Main Authors: Jochen Heberle, Cristina Sattarhoff
Format: Article
Language:English
Published: MDPI AG 2017-01-01
Series:Econometrics
Subjects:
GMM
HAC estimation
Newey-West estimator
Toeplitz matrices
discrete Fourier transformation (DFT)
R
Online Access:http://www.mdpi.com/2225-1146/5/1/9

Internet

http://www.mdpi.com/2225-1146/5/1/9

Similar Items