Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results are available, however, regarding the choice of a lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of weighing scheme. In consequence, available estimators are not entirely operational and the relative merits of the estimators are unknown.
|Date of creation:||1988|
|Date of revision:||Jul 1989|
|Publication status:||Published in Econometrica (May 1991), 59(3): 817-858|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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