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).
MLA
Casini, Alessandro. “Comment on Andrews (1991) “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation”.” Econometrica, vol. 90, .no 4, Econometric Society, 2022, pp. o1-o2, https://doi.org/10.3982/ECTA20162
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