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  • Search: subject:"heteroskedasticity-consistent covariance matrix estimation"
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Year of publication
Subject
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Two stage least squares 1 heteroskedasticity-consistent covariance matrix estimation 1 influence 1 leverage 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Steinhauer, Andreas 1 Wuergler, Tobias 1
Institution
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Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1
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IEW - Working Papers 1
Source
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RePEc 1
Showing 1 - 1 of 1
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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://ebvufind01.dmz1.zbw.eu/10008764885
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