Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (Q156125): Difference between revisions
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Revision as of 11:53, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation |
scientific article |
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817
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May 1991
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1991
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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (English)
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kernel estimator
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spectral density
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linear models
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nonlinear models
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estimation of covariance matrices
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heteroskedasticity
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autocorrelation
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fixed sample size
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weighting scheme
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asymptotic truncated mean squared errors of estimators
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data-dependent automatic bandwidth/lag truncation parameters
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