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

Casini Alessandro
CEIS Research Paper
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)
 

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Number: 536
Volume: 20
Issue: 3
Date: Saturday 02 April 2022
Revision Date: Saturday 02 April 2022