This note proposes a class of estimators for estimating the asymptotic covariance matrix of the generalized method of moments (GMM) estimator in the stationary time series models. The proposed estimator is general enough to include the traditional heteroskedasticity and autocorrelation...

This paper proposes a new class of estimators of the long-run average relationship when there is no individual time series cointegration. Using panel data with large cross section (n) and time series dimensions (T), the estimators are based on the long-run average variance estimate using...