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Vol. 21, No. 1, ET 20th Anniversary Colloquium: Automated Inference and the Future of Econometrics (Feb., 2005), pp. 158-170 (13 pages) This paper proposes a new class of heteroskedastic and ...
A new class of large-sample covariance and spectral density matrix estimators is proposed based on the notion of flat-top kernels. The new estimators are shown to be higher-order accurate when ...
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