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)
Number: 536
Volume: 20
Issue: 3
Date: Saturday, April 2, 2022
Revision Date: Saturday, April 2, 2022