Zhang, Xianyang; Shao, Xiaofeng - In: Economics Letters 120 (2013) 3, pp. 437-441
This note proposes a class of estimators for estimating the asymptotic covariance matrix of the generalized method of moments (GMM) estimator in the stationary time series models. The proposed estimator is general enough to include the traditional heteroskedasticity and autocorrelation...