Automatic Lag Selection in Covariance Matrix Estimation

DOI10.2307/2297912zbMath0815.62063OpenAlexW3124550551WikidataQ59486378 ScholiaQ59486378MaRDI QIDQ4319456

Whitney K. Newey, Kenneth D. West

Publication date: 29 June 1995

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/t0144.pdf

zbMATH Keywords

Monte Carlo simulationsheteroskedasticitytime series modelsautocorrelation consistent covariance matrixmean-squared error lossnumber of autocovariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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