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Heteroskedasticity and Autocorrelation Corrections

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The New Palgrave Dictionary of Economics
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Abstract

Many time series studies, including in particular those estimated by generalized method of moments, involve disturbances that are serially correlated and, possibly, conditionally heteroskedastic. The serial correlation and heteroskedasticity often are of unknown form. Corrections for serial correlation and heteroskedasticity are required for inference and efficient estimation. This article surveys procedures to implement such corrections.

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Acknowledgment

I thank Steven Durlauf, Masayuki Hirukawa and Tim Vogelsgang for helpful comments, and the National Science Foundation for financial support.

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West, K.D. (2018). Heteroskedasticity and Autocorrelation Corrections. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2369

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