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  • Search: subject:"heteroskedasticity and autocorrelation consistent covariance"
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Year of publication
Subject
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coverage ratio 3 heteroskedasticity and autocorrelation consistent covariance 3 nonlocal asymptotics 3 Autocorrelation 2 Autokorrelation 2 Cluster robust standard errors 2 Estimation theory 2 Heteroscedasticity 2 Heteroskedastizität 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Schätztheorie 2 Statistical test 2 Statistischer Test 2 Structural break 2 Strukturbruch 2 heteroskedasticity and autocorrelation consistent covariance matrix estimation 2 panel data 2 quantile regression 2 Confidence set 1 Correlation 1 HACSE 1 Korrelation 1 Panel 1 Panel study 1 Regression analysis 1 Regressionsanalyse 1 Robust statistics 1 Robustes Verfahren 1 Theorie 1 Theory 1 autocorrelation 1 condence set 1 confidence set 1 heteroscedasticity 1 heteroskedasticity and autocorrelation consistent covariance matrix 1 robust standard errors 1
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Online availability
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Free 5 CC license 1 Undetermined 1
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 4 Undetermined 2
Author
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Yamamoto, Yohei 3 Yoon, Jungmo 2 Galvao, Antonio Fialho <Jr.> 1 Galvão Júnior, Antônio Fialho 1 Newey, Whitney 1 West, Kenneth D. 1
Institution
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Graduate School of Economics, Hitotsubashi University 1
Published in...
All
Applied Econometrics 1 Discussion Papers / Graduate School of Economics, Hitotsubashi University 1 Discussion papers / Graduate School of Economics, Hitotsubashi University 1 Econometric reviews 1 Quantitative Economics 1 Quantitative economics : QE ; journal of the Econometric Society 1
Source
All
ECONIS (ZBW) 3 RePEc 2 EconStor 1
Showing 1 - 6 of 6
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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
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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
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A Modified Confidence Set for the Structural Break Date in Linear Regression Models
Yamamoto, Yohei - Graduate School of Economics, Hitotsubashi University - 2014
Elliott and Mler (2007) (EM) provides a method to construct a confidence set for the structural break date by inverting a locally best test statistic. Previous studies show that the EM method produces a set with an accurate coverage ratio even for a small break, however, the set is often overly...
Persistent link: https://www.econbiz.de/10011220292
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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 …
Persistent link: https://www.econbiz.de/10010841037
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A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei - 2014
Persistent link: https://www.econbiz.de/10010429183
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A modified confidence set for the structural break date in linear regression models
Yamamoto, Yohei - In: Econometric reviews 37 (2018) 6/10, pp. 974-999
Persistent link: https://www.econbiz.de/10012040525
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