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CONSISTENT COVARIANCE MATRIX ESTIMATION FOR LINEAR PROCESSES

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
1992Canonical Cointegrating Regressions1,383 cited
1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator1,091 cited

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