Long-run Covariance Estimation¶
Long-run Covariance Estimators¶
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Alternative name of the QuadraticSpectral covariance estimator. |
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Bartlett's (Newey-West) kernel covariance estimation. |
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Alternative name for Parzen covariance estimator. |
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Alternative name for Bartlett covariance estimator. |
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Parzen's kernel covariance estimation. |
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Parzen's Cauchy kernel covariance estimation. |
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Parzen's Geometric kernel covariance estimation. |
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Parzen-Reisz kernel covariance estimation. |
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Quadratic-Spectral (Andrews') kernel covariance estimation. |
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Tukey-Hamming kernel covariance estimation. |
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Tukey-Hanning kernel covariance estimation. |
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Tukey-Parzen kernel covariance estimation. |
Results¶
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Covariance estimate using a long-run covariance estimator |