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Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

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  • Hansen, Bruce E

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  • Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-972, July.
  • Handle: RePEc:ecm:emetrp:v:60:y:1992:i:4:p:967-72
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