Author:
Horváth Lajos,Rice Gregory
Publisher
Springer Nature Switzerland
Reference56 articles.
1. D. Andrews, Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858 (1991)
2. D. Andrews, J. Monahan. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60, 953–966 (1992)
3. J. Antoch, M. Hušková, Z. Prášková, Effect of dependence on statistics for determination of change. J. Stat. Plan. Inference 60, 291–310 (1997)
4. P. Aschersleben, M. Wagner, cointReg: Parameter Estimation and Inference in a Cointegrating Regression (2016). R package version 0.2.0
5. A. Aue, S. Hörmann, L. Horváth, M. Reimherr, Break detection in the covariance structure of multivariate time series models. Ann. Stat. 37, 4046–4087 (2009a)