Automatic Lag Selection in Covariance Matrix Estimation
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Publication:4319456
DOI10.2307/2297912zbMath0815.62063OpenAlexW3124550551WikidataQ59486378 ScholiaQ59486378MaRDI QIDQ4319456
Whitney K. Newey, Kenneth D. West
Publication date: 29 June 1995
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/t0144.pdf
Monte Carlo simulationsheteroskedasticitytime series modelsautocorrelation consistent covariance matrixmean-squared error lossnumber of autocovariances
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)
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