Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”
Econometrica · 2022 · Volume 90 · Issue 4
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).
Keywords
HAC estimator, nonstationarity
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