A note on consistent estimation of heteroskedastic and autocorrelated covariance matrices
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Bibliographic InfoPaper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0021.
Date of creation: 1988
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- Yongmiao Hong & Jin Lee, 2000. "Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices," Econometric Society World Congress 2000 Contributed Papers 1211, Econometric Society.
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