Automatic Lag Selection in Covariance Matrix Estimation
收藏NBER1995-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0144
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资源简介：
We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given kernel for weighting the autocovariances, we prove that our procedure is asymptotically equivalent to one
提供机构：
美国国家经济研究局
创建时间：
1995-02-01
