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Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

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  1. repec:hal:journl:peer-00815564 is not listed on IDEAS
  2. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
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  10. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  11. Chang-Ho Jihn & Bokyoung Kim & Kue Sook Kim, 2021. "Predictors of Burnout in Hospital Health Workers during the COVID-19 Outbreak in South Korea," IJERPH, MDPI, vol. 18(21), pages 1-17, November.
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  17. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
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  31. Antonia López Villavicencio & Josep Lluís Raymond Bara, 2006. "The short and long-run determinants of the real exchange rate in Mexico," Working Papers wpdea0606, Department of Applied Economics at Universitat Autonoma of Barcelona.
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  35. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
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  39. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
  40. Timothy G. Conley & Sílvia Gonçalves & Min Seong Kim & Benoit Perron, 2023. "Bootstrap inference under cross‐sectional dependence," Quantitative Economics, Econometric Society, vol. 14(2), pages 511-569, May.
  41. Kourogenis, Nikolaos & Pittis, Nikitas, 2010. "Unbounded heteroscedasticity in first-order autoregressive models and the Eicker-White asymptotic variance estimator," Economics Letters, Elsevier, vol. 106(2), pages 84-86, February.
  42. Deschamps, Philippe J., 2006. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," Journal of Econometrics, Elsevier, vol. 133(1), pages 153-190, July.
  43. Michelle Yoo & Billy Bai & Ashok Singh, 2020. "The evolution of behavioral loyalty and customer lifetime value over time: investigation from a Casino Loyalty Program," Journal of Marketing Analytics, Palgrave Macmillan, vol. 8(2), pages 45-56, June.
  44. Ozkan, Oktay, 2021. "Impact of COVID-19 on stock market efficiency: Evidence from developed countries," Research in International Business and Finance, Elsevier, vol. 58(C).
  45. Chang, Jinyuan & Cheng, Guanghui & Yao, Qiwei, 2022. "Testing for unit roots based on sample autocovariances," LSE Research Online Documents on Economics 114620, London School of Economics and Political Science, LSE Library.
  46. Jing Zhou & Pierre Perron, 2008. "Testing for Breaks in Coefficients and Error Variance: Simulations and Applications," Boston University - Department of Economics - Working Papers Series wp2008-010, Boston University - Department of Economics.
  47. Yoosoon Chang & Ye Lu & Joon Park, 2018. "Understanding Regressions with Observations Collected at High Frequency over Long Span," CAEPR Working Papers 2019-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  48. Arturo Estrella & Anthony P. Rodrigues, 1998. "Consistent covariance matrix estimation in probit models with autocorrelated errors," Staff Reports 39, Federal Reserve Bank of New York.
  49. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
  50. PAUL CASHIN & C. JOHN McDERMOTT, 1998. "Are Australia's Current Account Deficits Excessive?," The Economic Record, The Economic Society of Australia, vol. 74(227), pages 346-361, December.
  51. da Silva Filho, Tito Nícias Teixeira & Figueiredo, Francisco Marcos Rodrigues, 2011. "Has Core Inflation Been Doing a Good Job in Brazil?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(2), June.
  52. Barbora Peštová & Michal Pešta, 2015. "Testing structural changes in panel data with small fixed panel size and bootstrap," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(6), pages 665-689, August.
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  64. Robin Greenwood & Samuel G. Hanson, 2013. "Issuer Quality and Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1483-1525.
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  73. Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
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