Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
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Publication:1362034
DOI10.1016/0304-4076(95)01788-7zbMATH Open0878.62103OpenAlexW2091174088MaRDI QIDQ1362034FDOQ1362034
Authors: Kenneth D. West 
Publication date: 5 January 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01788-7
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Time series: theory and methods.
- Title not available (Why is that?)
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Title not available (Why is that?)
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
- Two-step two-stage least squares estimation in models with rational expectations
- Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
- A generalized variance bounds test with an application to the Holt et al. inventory model
Cited In (20)
- A construction method of certain matrices required in the multivariate heteroscedastic method
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- Examining bias in estimators of linear rational expectations models under misspecification
- Interval forecasts and parameter uncertainty
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- A two-stage plug-in bandwidth selection and its implementation for covariance estimation
- Modeling the interdependence of volatility and inter-transaction duration processes.
- On improving the robustness and reliability of Rao's score test
- On variance estimation in a negative binomial time series regression model
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice”
- Alternative HAC covariance matrix estimators with improved finite sample properties
- Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- The properties of some covariance matrix estimators in linear models with AR(1) errors
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Generalized reduced rank tests using the singular value decomposition
- COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
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