An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
Year of publication: |
1990-03
|
---|---|
Authors: | Andrews, Donald W.K. ; Monahan, Christopher J. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotic theory | covariance matrix | heteroskedasticity | kernel estimator | nonparametric estimator | vector autoregression |
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