An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (Q4013240)
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scientific article; zbMATH DE number 64016
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| English | An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator |
scientific article; zbMATH DE number 64016 |
Statements
An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator (English)
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27 September 1992
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over-rejection of \(t\) statistics
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heteroskedasticity
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autocorrelation
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covariance matrix estimators
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prewhitened kernel estimators
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vector autoregressions
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consistency
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bandwidth
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Monte Carlo
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prewhitening
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confidence interval coverage probabilities
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0.96951044
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0.96942437
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0.9684137
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0.9566915
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0.94502926
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