Abstract
Many time series studies, including in particular those estimated by generalized method of moments, involve disturbances that are serially correlated and, possibly, conditionally heteroskedastic. The serial correlation and heteroskedasticity often are of unknown form. Corrections for serial correlation and heteroskedasticity are required for inference and efficient estimation. This article surveys procedures to implement such corrections.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Similar content being viewed by others
Bibliography
Andrews, D.W.K. 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59: 817–858.
Andrews, D.W.K., and J.C. Monahan. 1992. An improved heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 60: 953–966.
Cumby, R.E., J. Huizanga, and M. Obstfeld. 1983. Two step, two-stage least squares estimation in models with rational expectations. Journal of Econometrics 21: 333–355.
den Haan, W.J., and A.T. Levin. 1997. A practitioner’s guide to robust covariance matrix estimation. In Handbook of statistics: Robust inference, ed. G. Maddala and C. Rao, Vol. 15. New York: Elsevier.
Eichenbaum, M.S., L.P. Hansen, and K.J. Singleton. 1988. A time series analysis of representative agent models of consumption and leisure choice under uncertainty. Quarterly Journal of Economics 103: 51–78.
Hamilton, J. 1994. Time series analysis. Princeton: Princeton University Press.
Hannan, E.J. 1970. Multiple time series. New York: Wiley.
Hansen, L.P. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50: 1029–1054.
Hansen, L.P., and R.J. Hodrick. 1980. Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy 96: 829–853.
Hansen, L.P., and K.J. Singleton. 1982. Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 50: 1269–1286.
Hansen, B.E., and K.D. West. 2002. Generalized method of moments and macroeconomics. Journal of Business and Economic Statistics 20: 460–469.
Hirukawa, M. 2006. A modified nonparametric prewhitened covariance estimator. Journal of Time Series Analysis 27: 441–476.
Hodrick, R.J. 1992. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Review of Financial Studies 5: 357–386.
Jansson, M. 2004. The error in rejection probability of simple autocorrelation robust tests. Econometrica 72: 937–946.
Kiefer, N.M., and T.J. Vogelsang. 2002. Heteroskedasticity-autocorrelation robust standard errors using the Bartlett kernel without truncation. Econometrica 70: 2093–2095.
Kiefer, N.M., and T.J. Vogelsang. 2005. A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory 21: 1130–1164.
Kiefer, N.M., T.J. Vogelsang, and H. Bunzel. 2000. Simple robust testing of regression hypotheses. Econometrica 68: 695–714.
Newey, W.K., and K.D. West. 1987. A simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55: 703–708.
Newey, W.K., and K.D. West. 1994. Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61: 631–654.
Phillips, P.C.B., Y. Sun, and S. Jin. 2006. Spectral density estimation and robust hypothesis testing using steep origin kernels without truncation. International Economic Review 47: 837–894.
Phillips, P.C.B., Y. Sun, and S. Jin. 2007. Long run variance estimation and robust regression testing using sharp origin kernels with no truncation. Journal of Statistical Planning and Inference 137: 985–1023.
Politis, D.N., and J.P. Romano. 1995. Bias-corrected nonparametric spectral estimation. Journal of Time Series Analysis 16: 67–103.
Priestley, M.B. 1981. Spectral Analysis and Time Series. New York: Academic Press.
West, K.D. 1997. Another heteroskedasticity and autocorrelation consistent covariance matrix estimator. Journal of Econometrics 76: 171–191.
White, H. 1980. A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48: 817–838.
Xiao, Z., and O. Linton. 2002. A nonparametric prewhitened covariance estimator. Journal of Time Series Analysis 23: 215–250.
Acknowledgment
I thank Steven Durlauf, Masayuki Hirukawa and Tim Vogelsgang for helpful comments, and the National Science Foundation for financial support.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
West, K.D. (2018). Heteroskedasticity and Autocorrelation Corrections. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2369
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_2369
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences