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).
Casini, A. (2022). COMMENT ON ANDREWS (1991) "HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATION". ECONOMETRICA, 90(4), 1-2 [10.3982/ECTA20162].
COMMENT ON ANDREWS (1991) "HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATION"
Casini, Alessandro
2022-01-01
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).File in questo prodotto:
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