Improved HAC covariance matrix estimation based on forecast errors
From MaRDI portal
Publication:1934714
DOI10.1016/j.econlet.2007.06.008zbMath1255.91360MaRDI QIDQ1934714
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/220029/-1/17.pdf
91B84: Economic time series analysis
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Cites Work
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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