An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator
- Author
- ANDREWS, D. W. K; MONAHAN, J. C
Yale univ., Cowles foundation, New Haven CT 06520, United States - Source
Econometrica. 1992, Vol 60, Num 4, pp 953-966 ; ref : 17 ref
- CODEN
- ECMTA7
- ISSN
- 0012-9682
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Blackwell, Malden, MA
- Publication country
- United States
- Document type
- Article
- Language
- English
- Keyword (fr)
- Autocorrélation Estimateur convergent Hétéroscedasticité Matrice covariance Méthode noyau Autorégression vectorielle Préblanchiment
- Keyword (en)
- Autocorrelation Consistent estimator Heteroscedasticity Covariance matrix Kernel method
- Keyword (es)
- Autocorrelación Estimador convergente Heteroscedasticidad Matriz covarianza Método núcleo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 5486213
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.2307/2951574 
https://dx.doi.org/10.2307/2951574
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