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

Alessandro Casini ()
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Alessandro Casini: Università di Roma "Tor Vergata", http://www.ceistorvergata.it

No 536, CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This comment includes a solution to a problem in Section 8 in Andrews (1991) and points out a method to generalize the mean-squared error (MSE) bounds appearing in Andrews (1988) and Andrews (1991)

Pages: 6 pages
Date: 2022-04-02, Revised 2022-04-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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