This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

In this article, we employ a regression formulation to estimate the high dimensional covariance matrix for a given network structure. Using prior information contained in the network relationships, we model the covariance as a polynomial function of the symmetric adjacency matrix. Accordingly,...