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Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”

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  • Alessandro Casini

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

  • Alessandro Casini, 2022. "Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”," Econometrica, Econometric Society, vol. 90(4), pages 1-2, July.
    • Handle: RePEc:wly:emetrp:v:90:y:2022:i:4:p:1-2
    DOI: 10.3982/ECTA20162
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    References listed on IDEAS

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    1. Alessandro Casini, 2021. "Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models," Papers 2103.02981, arXiv.org, revised Aug 2024.
    2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    3. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).
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    1. Casini, Alessandro & Perron, Pierre, 2024. "Prewhitened long-run variance estimation robust to nonstationarity," Journal of Econometrics, Elsevier, vol. 242(1).

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