Improved HAC covariance matrix estimation based on forecast errors (Q1934714)
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scientific article; zbMATH DE number 6132307
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improved HAC covariance matrix estimation based on forecast errors |
scientific article; zbMATH DE number 6132307 |
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Improved HAC covariance matrix estimation based on forecast errors (English)
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29 January 2013
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forecast error
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HAC estimator
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kernel estimator
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recursive residual
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robust test
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