Download This PaperComment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”*
6 Pages Posted: 3 Apr 2022
Date Written: April 2, 2022
Abstract
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).
Suggested Citation: Suggested Citation
Casini, Alessandro, Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”* (April 2, 2022). CEIS Working Paper No. 536, Available at SSRN: https://ssrn.com/abstract=4073803 or http://dx.doi.org/10.2139/ssrn.4073803
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