Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”

DOI10.3982/ECTA20162MaRDI QIDQ6181680

Alessandro Casini

Publication date: 23 January 2024

Published in: Econometrica (Search for Journal in Brave)

zbMATH Keywords

nonstationarityHAC estimator

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models

Related Items (2)

Prewhitened long-run variance estimation robust to nonstationarity ⋮ Change-point analysis of time series with evolutionary spectra

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