Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix

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FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS (2014, methodology): “See Conley (1996, 1999) for early examples and Kelegian and Prucha (2007) and Kim and Sun (2011) for more recent examples.”
Estimation of spatial models with endogenous weighting matrices, and an application to a demand model for cigarettes (2014, methodology): “Then, as an example, the hypothesis H0 : c ′δ = 0 would be rejected at the two tail 5% level if (c′δ̂)2 c′V̂ Cδ̂c > 1.96 14Neither Kelejian and Prucha (2007), nor Kim and Sun (2011) considered a panel framework.”
The Standard Errors of Persistence (2019, unknown): “9 Such tuning “parameters” can be choice of large clusters, terms in an approximation, or a reference correlation function, e.g. Conley 1999, Ibragimov and Müller (2010), Kim and Sun (2011), Canay, Romano and Shaikh (2017), and Müller and Watson (2022, 2023).”