Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Home> Publications> Econometrica>Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”

Econometrica: Jul, 2022, Volume 90, Issue 4

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

https://doi.org/10.3982/ECTA20162
p. o1-o2

Alessandro Casini

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).

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