Two estimators of the long-run variance: beyond short memory

File(s)

Journal of Econometrics_150_1_2009.pdf (318.76 KB)

Accepted version

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Author(s)

Abadir, KM

Distaso, W

Giraitis, L

Type

Journal Article

Date Issued

2009

Citation

Journal of Econometrics, 2009, 150, pp.56-70

URI

http://hdl.handle.net/10044/1/15605

DOI

http://dx.doi.org/10.1016/j.jeconom.2009.02.010

ISSN

0304-4076

Publisher

ELSEVIER SCIENCE SA

Start Page

56

End Page

70

Journal / Book Title

Journal of Econometrics

Volume

150

Issue

1

Copyright Statement

Copyright © 2009 Published by Elsevier Inc. NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Econometrics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Econometrics, 150(1), 2009. DOI:10.1016/j.jeconom.2009.02.010

License URL

http://www.rioxx.net/licenses/all-rights-reserved

Identifier

http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=000266510500005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202

Publication Status

Published