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LM tests in the presence of non-normal error distributions
Furno, Marilena, (2000)
A strong consistency proof for heteroskedasticity and autocorrelation consistent covariance matrix estimators
Jong, Robert M. de, (2000)
Prewhitening bias in HAC estimation
Sul, Donggyu, (2003)
A bias-reduced log-periodogram regression estimator for the long-memory parameter
Andrews, Donald W. K., (2000)
A bias reduced log-periodogram regression estimator for the long-memory parameter
Andrews, Donald W. K., (2003)