An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data

DOI10.1016/0165-1765(90)90158-WzbMath1376.62115OpenAlexW1967239461MaRDI QIDQ1676722

Danny T. Quah

Publication date: 9 November 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90158-w

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

GMM estimation with cross sectional dependence

Cites Work

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