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Heteroskedasticity and Cross-Section Correlation Consistent Co-variance Matrix Estimator
Heteroskedasticity and Cross-Section Correlation Consistent Co-variance Matrix Estimator
2003
Ji-cheng Bai
Serena Ng
Keywords:
Econometrics
Estimator
Mathematics
Newey–West estimator
Heteroscedasticity
Matrix (mathematics)
Correlation
Covariance
Correction
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