Search Results - subject:"heteroskedasticity and autocorrelation 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