Heberle, Jochen; Sattarhoff, Cristina - In: Econometrics : open access journal 5 (2017) 1, pp. 1-16
This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...
