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
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
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