Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes

• 1 July 1992
• journal article
• Published by JSTOR in Econometrica
• Vol. 60  (4) , 967
• https://doi.org/10.2307/2951575

Abstract

Keywords

• COVARIANCE MATRIX ESTIMATION
• CONSISTENT COVARIANCE
• DEPENDENT HETEROGENEOUS PROCESSES
• ESTIMATION FOR DEPENDENT