Automatic Lag Selection in Covariance Matrix Estimation
Year of publication: |
[2021]
|
---|---|
Authors: | West, Kenneth D. ; Newey, Whitney K. |
Publisher: |
[S.l.] : SSRN |
Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (51 p) |
---|---|
Series: | NBER Working Paper ; No. t0144 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1995 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Computing the update of the repeated median regression line in linear time
Bernholt, Thorsten, (2002)
-
Approximating risk premium on a parametric arbitrage-free term structure model
Almeida, Caio, (2014)
-
Lee, Mei-Yu, (2014)
- More ...
-
Automatic lag selection in covariance matrix estimation
West, Kenneth D., (1993)
-
Automatic lag selection in covariance matrix estimation
Newey, Whitney K., (1994)
-
A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Newey, Whitney K., (1987)
- More ...