{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,31]],"date-time":"2026-07-31T11:38:22Z","timestamp":1785497902010,"version":"3.56.0"},"reference-count":24,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2005,2,8]],"date-time":"2005-02-08T00:00:00Z","timestamp":1107820800000},"content-version":"unspecified","delay-in-days":7,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2005,2]]},"abstract":"<jats:p>Smoothed nonparametric estimates of the spectral density matrix at \nzero frequency have been widely used in econometric inference, because \nthey can consistently estimate the covariance matrix of a partial sum \nof a possibly dependent vector process. When elements of the vector \nprocess exhibit long memory or antipersistence such estimates are \ninconsistent. We propose estimates which are still consistent in such \ncircumstances, adapting automatically to memory parameters that can \nvary across the vector and be unknown.<\/jats:p>","DOI":"10.1017\/s0266466605050115","type":"journal-article","created":{"date-parts":[[2005,4,25]],"date-time":"2005-04-25T14:15:35Z","timestamp":1114438535000},"page":"171-180","source":"Crossref","is-referenced-by-count":48,"title":["ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG \nMEMORY\/ANTIPERSISTENCE CORRECTION"],"prefix":"10.1017","volume":"21","author":[{"given":"P.M.","family":"Robinson","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2005,2,8]]},"reference":[{"key":"S0266466605050115_ref019","doi-asserted-by":"crossref","unstructured":"Robinson, P.M. 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(1974)Consistent autoregressive spectral estimators.Annals of Statistics 2,489\u2013502.","DOI":"10.1214\/aos\/1176342709"},{"key":"S0266466605050115_ref018","doi-asserted-by":"crossref","unstructured":"Robinson, P.M. (1994c)Time series with strong dependence. Invited Paper, 1990 WorldCongress of the Econometric Society. In C.A. 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