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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

Donald W. K. Andrews and J. Christopher Monahan
Econometrica
Vol. 60, No. 4 (Jul., 1992), pp. 953-966
Published by: The Econometric Society
DOI: 10.2307/2951574
Stable URL: http://www.jstor.org/stable/2951574
Page Count: 14
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An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
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