Search Results - subject:"Consistent Covariance-matrix"

Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects

Yoon, Jungmo; Galvão Júnior, Antônio Fialho - In: Quantitative Economics 11 (2020) 2, pp. 579-608

extension of the heteroskedasticity and autocorrelation consistent covariance matrix estimator for QR models with fixed effects …

Persistent link: https://www.econbiz.de/10012215426

Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects

Yoon, Jungmo; Galvao, Antonio Fialho <Jr.> - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 579-608

extension of the heteroskedasticity and autocorrelation consistent covariance matrix estimator for QR models with fixed effects …

Persistent link: https://www.econbiz.de/10012213981

A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix

Newey, Whitney; West, Kenneth D. - In: Applied Econometrics 33 (2014) 1, pp. 125-132

This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance … matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix …

Persistent link: https://www.econbiz.de/10010841037

Heteroskedasticity-consistent covariance matrix estimators in small samples with high leverage points

Şimşek, Esra; Orhan, Mehmet - In: Theoretical economics letters 6 (2016) 4, pp. 658-677

Persistent link: https://www.econbiz.de/10011582398

Leverage and covariance matrix estimation in finite-sample IV regressions

Steinhauer, Andreas; Wuergler, Tobias - Institut für Volkswirtschaftslehre, … - 2010

This paper develops basic algebraic concepts for instrumental variables (IV) regressions which are used to derive the leverage and influence of observations on the 2SLS estimate and compute alternative heteroskedasticity-consistent (HC1, HC2 and HC3) estimators for the 2SLS covariance matrix in...

Persistent link: https://www.econbiz.de/10008764885

Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form

Pavlidis, E; Paya, I; Peel, D - Department of Economics, Management School - 2009

on Heteroskedasticity Consistent Covariance Matrix Estimators but not for the Fixed Design Wild Bootstrap. We highlight …

Persistent link: https://www.econbiz.de/10011165298

On the estimation and comparison of short-rate models using the generalised method of moments

Faff, R.; Gray, P. - 2006

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for...

Persistent link: https://www.econbiz.de/10009448412

The Wild Bootstrap, Tamed at Last

Davidson, Russell; Flachaire, Emmanuel - 2001

asymptotic t statistics computed with a heteroskedasticity consistent covariance matrix estimator. Particular interest centers on …

Persistent link: https://www.econbiz.de/10011940627

The wild bootstrap, tamed at last

Davidson, Russell; Flachaire, Emmanuel - London School of Economics (LSE) - 2001

Various versions of the wild bootstrap are studied as applied to regression models with heteroskedastic errors. It is shown that some versions can be qualified as 'tamed', in the sense that the statistic bootstrapped is asymptotically independent of the distribution of the wild bootstrap DGP....

Persistent link: https://www.econbiz.de/10010746183

The Wild Bootstrap, Tamed at Last

Davidson, Russell; Flachaire, Emmanuel - Economics Department, Queen's University - 2001

asymptotic t statistics computed with a heteroskedasticity consistent covariance matrix estimator. Particular interest centers on …

Persistent link: https://www.econbiz.de/10005688316