An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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Note: CFP 814.
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- Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
References listed on IDEAS
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Keywords
Asymptotic theory; covariance matrix; heteroskedasticity; kernel estimator; nonparametric estimator; vector autoregression;All these keywords.
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