Econometric Computing with HC and HAC Covariance Matrix Estimators
Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasti...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2004-11-01
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| Series: | Journal of Statistical Software |
| Online Access: | http://www.jstatsoft.org/index.php/jss/article/view/1415 |