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~institution:"Cowles Foundation for Research in Economics, Yale University"
~subject:"heteroskedasticity"
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An Improved
Heteroskedasticity
and Autocorrelation Consistent Covariance Matrix Estimator
Andrews, Donald W.K.
;
Monahan, Christopher J.
-
Cowles Foundation for Research in Economics, Yale University
-
1990
This paper considers a new class of
heteroskedasticity
and autocorrelation consistent (HAC) covariance matrix …
Persistent link: https://www.econbiz.de/10005762589
Saved in:
2
Heteroskedasticity
and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, Donald W.K.
-
Cowles Foundation for Research in Economics, Yale University
-
1988
This paper is concerned with the estimation of covariance matrices in the presence of
heteroskedasticity
and …
Persistent link: https://www.econbiz.de/10005762692
Saved in:
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