Automatic Lag Selection in Covariance Matrix Estimation

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ID: 289980
1994
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Abstract
Journal Article Automatic Lag Selection in Covariance Matrix Estimation Get access Whitney K. Newey, Whitney K. Newey MIT Search for other works by this author on: Oxford Academic Google Scholar Kenneth D. West Kenneth D. West University of Wisconsin Search for other works by this author on: Oxford Academic Google Scholar The Review of Economic Studies, Volume 61, Issue 4, October 1994, Pages 631–653, https://doi.org/10.2307/2297912 Published: 01 October 1994 Article history Received: 01 September 1992 Accepted: 01 April 1994 Published: 01 October 1994
Reference Key
openalex_W3124550551 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Whitney K. Newey, Kenneth D. West
Journal The Review of Economic Studies
Year 1994
DOI
10.2307/2297912
URL
https://doi.org/10.2307/2297912
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