A Fast Algorithm for the Computation of HAC Covariance Matrix Estimators
Author:
Publisher
MDPI AG
Subject
Economics and Econometrics
Link
http://www.mdpi.com/2225-1146/5/1/9/pdf
Reference33 articles.
1. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
2. Object-Oriented Computation of Sandwich Estimators
3. Estimation, Inference and Specification Analysis;White,1994
4. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
5. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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