Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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Publication:156125
DOI10.2307/2938229zbMath0732.62052OpenAlexW2108446661WikidataQ61631747 ScholiaQ61631747MaRDI QIDQ156125
Donald W. K. Andrews, Donald W. K. Andrews
Publication date: May 1991
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d08/d0877-r.pdf
nonlinear modelslinear modelsspectral densitykernel estimatorautocorrelationheteroskedasticityestimation of covariance matricesfixed sample sizeweighting schemeasymptotic truncated mean squared errors of estimatorsdata-dependent automatic bandwidth/lag truncation parameters
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