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  • Search: subject:"HC standard errors"
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Year of publication
Subject
All
HC standard errors 12 Conditional heteroskedasticity 8 Estimation theory 7 Heteroscedasticity 7 Heteroskedastizität 7 Schätztheorie 7 weighted least squares 7 Kleinste-Quadrate-Methode 6 Least squares method 6 conditional heteroskedasticity 4 Bootstrap 2 CAPM 2 factor models 2 ARCH model 1 ARCH-Modell 1 Bootstrap approach 1 Bootstrap-Verfahren 1 Factor analysis 1 Faktorenanalyse 1 Forecasting model 1 Induktive Statistik 1 Prognoseverfahren 1 Statistical inference 1 Weighted least squares 1
more ... less ...
Online availability
All
Free 8 Undetermined 4
Type of publication
All
Book / Working Paper 11 Article 1
Type of publication (narrower categories)
All
Working Paper 10 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 11 Undetermined 1
Author
All
Wolf, Michael 12 Romano, Joseph P. 10 Beck, Elliot 2 De Nard, Gianluca 2 DiCiccio, Cyrus J. 2
Institution
All
Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1
Published in...
All
Working paper series / University of Zurich, Department of Economics 6 Working Paper 4 ECON - Working Papers 1 Journal of econometrics 1
Source
All
ECONIS (ZBW) 7 EconStor 4 RePEc 1
Showing 1 - 10 of 12
Cover Image
Improved inference in financial factor models
Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023
and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to … adaptive least squares (ALS) to estimate model parameters generally leads to smaller HC standard errors compared to ordinary …
Persistent link: https://www.econbiz.de/10014278560
Saved in:
Cover Image
Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - In: Journal of econometrics 197 (2017) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011818334
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Cover Image
Improved inference in financial factor models
Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023
and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to … adaptive least squares (ALS) to estimate model parameters generally leads to smaller HC standard errors compared to ordinary …
Persistent link: https://www.econbiz.de/10014232090
Saved in:
Cover Image
Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - 2016 - Revised version, October 2016
estimator, the WLS estimator can be accompanied by heterokedasticty-consistent (HC) standard errors without knowledge of the …
Persistent link: https://www.econbiz.de/10011554051
Saved in:
Cover Image
Improving weighted least squares inference
DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent standard errors. Similarly, even when the true form of...
Persistent link: https://www.econbiz.de/10011518606
Saved in:
Cover Image
Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - 2016
estimator, the WLS estimator can be accompanied by heterokedasticty-consistent (HC) standard errors without knowledge of the …
Persistent link: https://www.econbiz.de/10011663166
Saved in:
Cover Image
Improving weighted least squares inference
DiCiccio, Cyrus J.; Romano, Joseph P.; Wolf, Michael - 2016
In the presence of conditional heteroskedasticity, inference about the coefficients in a linear regression model these days is typically based on the ordinary least squares estimator in conjunction with using heteroskedasticity consistent standard errors. Similarly, even when the true form of...
Persistent link: https://www.econbiz.de/10011663191
Saved in:
Cover Image
Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - 2014
consistent (HC) standard errors. However, we argue for reintroducing the practice of reweighting the data, since doing so can … estimator can also be accompanied by HC standard errors without knowledge of the functional form of conditional …
Persistent link: https://www.econbiz.de/10011282509
Saved in:
Cover Image
Resurrecting weighted least squares
Wolf, Michael; Romano, Joseph P. - Institut für Volkswirtschaftslehre, … - 2014
consistent (HC) standard errors. However, we argue for reintroducing the practice of reweighting the data, since doing so can … estimator can also be accompanied by HC standard errors without knowledge of the functional form of conditional …
Persistent link: https://www.econbiz.de/10011082365
Saved in:
Cover Image
Resurrecting weighted least squares
Romano, Joseph P.; Wolf, Michael - 2016 - Revised version, July 2016
estimator, the WLS estimator can be accompanied by heterokedasticty-consistent (HC) standard errors without knowledge of the …
Persistent link: https://www.econbiz.de/10011508056
Saved in:
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