Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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- scientific article; zbMATH DE number 1211744
Cited in
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- Normal estimators for cointegrating relationships
- Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
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- Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
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- Estimation and empirical performance of non-scalar dynamic conditional correlation models
- The Fisher effect in the presence of time-varying coefficients
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