Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
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Publication:1362034
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Cites work
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 3550005 (Why is no real title available?)
- A generalized variance bounds test with an application to the Holt et al. inventory model
- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
- 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
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Large Sample Properties of Generalized Method of Moments Estimators
- Nearly Efficient Estimation of Time Series Models with Predetermined, but not Exogenous, Instruments
- Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions
- Time series: theory and methods.
- Two-step two-stage least squares estimation in models with rational expectations
Cited in
(20)- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice”
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Alternative HAC covariance matrix estimators with improved finite sample properties
- Examining bias in estimators of linear rational expectations models under misspecification
- Interval forecasts and parameter uncertainty
- COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY
- A two-stage plug-in bandwidth selection and its implementation for covariance estimation
- A STRONG CONSISTENCY PROOF FOR HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATORS
- Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
- Modeling the interdependence of volatility and inter-transaction duration processes.
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- The properties of some covariance matrix estimators in linear models with AR(1) errors
- On improving the robustness and reliability of Rao's score test
- Generalized reduced rank tests using the singular value decomposition
- A construction method of certain matrices required in the multivariate heteroscedastic method
- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models
- On variance estimation in a negative binomial time series regression model
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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