Automatic Lag Selection in Covariance Matrix Estimation
Year of publication: |
1995-02
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Authors: | West, Kenneth D. ; Newey, Whitney |
Institutions: | National Bureau of Economic Research (NBER) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | EFG published as Review of Economic Studies, 1994, 61, pp 631-653 Number 0144 |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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