An Improved Heteroskedasticity and Autocorrelation Consistent Co variance Matrix Estimator

Authors
DONALD W. K. ANDREWS J. CHRISTOPHER MONAHAN
Citation
DONALD W. K. ANDREWS et J. CHRISTOPHER MONAHAN, An Improved Heteroskedasticity and Autocorrelation Consistent Co variance Matrix Estimator, Econometrica, 60(04), 1992, pp. 953
Journal title
Econometrica → ACNP
ISSN journal
00129682
Volume
60
Issue
04
Year of publication
1992
Database
ICR
SICI code
0012-9682(1992)60:04<953:AIHAAC>2.0.ZU;2-6