Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

Bruce E. Hansen

"Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes", Econometrica, Vol. 60, No. 4. (Jul., 1992), pp. 967-972.

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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.

Bruce E. Hansen "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes", Econometrica, Vol. 60, No. 4. (Jul., 1992), pp. 967-972.

Bruce E. Hansen

"Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes", Econometrica, Vol. 60, No. 4. (Jul., 1992), pp. 967-972.