Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures
收藏NBER1996-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0195
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资源简介：
In this paper, we propose a parametric spectral estimation procedure for constructing heteroskedasticity and autocorrelation consistent (HAC) covariance matrices. We establish the consistency of this procedure under very general conditions similar to those considered in previous research, and we
提供机构：
美国国家经济研究局
创建时间：
1996-05-01
