Automatic Lag Selection in Covariance Matrix Estimation
نویسندگان
چکیده
منابع مشابه
Automatic positive semi-definite HAC covariance matrix and GMM estimation
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 1994
ISSN: 0034-6527,1467-937X
DOI: 10.2307/2297912