An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

DOI10.2307/2951574zbMath0778.62103OpenAlexW2179874418MaRDI QIDQ4013240

Donald W. K. Andrews, J. Christopher Monahan

Publication date: 27 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d09/d0942.pdf

zbMATH Keywords

consistencyMonte Carlobandwidthvector autoregressionsautocorrelationheteroskedasticityprewhiteningconfidence interval coverage probabilitiescovariance matrix estimatorsover-rejection of \(t\) statisticsprewhitened kernel estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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