ROBUST COVARIANCE MATRIX ESTIMATION WITH DATA-DEPENDENT VAR PREWHITENING ORDER
| Year of publication: |
2000
|
|---|---|
| Authors: | Haan, Wouter J.den ; Levin, Andrew T. |
| Published in: |
Technical working paper / National Bureau of Economic Research. - Cambridge, Mass : NBER, ISSN 1073-2489, ZDB-ID 12272425. - 2000, 255, p. 255
|