Download or read book A Note on White s Heteroskedasticity consistent Covariance Matrix Estimator written by Naorayex K. Dastoor and published by . This book was released on 1992 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Note on the Eicker White Heteroskedasticity consistent Covariance Matrix Estimator written by Naorayex K. Dastoor and published by . This book was released on 1993 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Heteroskedasticity consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity written by Halbert White and published by . This book was released on 1980 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Modified Heteroskedasticity Consistent Covariance Matrix Estimator with Improved Finite Sample Properties written by James G. MacKinnon and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1983 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Heteroskedasticity Consistent Covariance Estimator in Accounting written by Jose Dias Curto and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of this paper is to compare the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator with alternative estimators. Many regression packages compute the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator. The common procedure in Accounting and Finance research to deal with the heteroskedasticity problem is based on this estimator, despite its worse finite-samples properties when compared with other consistent estimators. In this paper we compare several HC covariance matrix estimators based on a sample of 3706 European listed companies from Austria, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden and the United Kingdom. We conclude that HC standard errors increase when finite-samples more appropriate estimators are considered and in the most part of countries the Ohlson (1995) model coefficients estimates became statistically insignificant. This can be explained by the high leverage points in the design matrix. To the best of our knowledge it is the first time that these alternative estimators are compared with the one of White (1980) in accounting research.

Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.

Download or read book The Bias of the Heteroskedasticity Consistent Covariance Matrix Estimator written by Andrew Chesher and published by . This book was released on 1986 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Improved Heteroskedasticity consistent Covariance Matrix Estimator written by Francisco Cribari Neto and published by . This book was released on 1999 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bootstrapping Heteroskedasticity Consistent Covariance Matrix Estimator written by Emmanuel Flachaire and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Some Heteroskedasticity robust Estimators of Variance covariance Matrix of the Least Squares Estimators written by Anil K. Bera and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Kenneth D. West and published by . This book was released on 1995 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A þT consistent estimator of a heteroskedasticity and autocorrelation consistent covariance matrix estimator is proposed and evaluated. The relevant applications are ones in which the regression disturbance follows a moving average process of known order. In a system of þ equations, this `MA-þ' estimator entails estimation of the moving average coefficients of an þ-dimensional vector. Simulations indicate that the MA-þ estimator's finite sample performance is better than that of the estimators of Andrews and Monahan (1992) and Newey and West (1994) when cross-products of instruments and disturbances are sharply negatively autocorrelated, comparable or slightly worse otherwise.

Download or read book Another Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Guide to Econometrics written by Peter Kennedy and published by John Wiley & Sons. This book was released on 2008-02-19 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieses etwas andere Lehrbuch bietet keine vorgefertigten Rezepte und Problemlösungen, sondern eine kritische Diskussion ökonometrischer Modelle und Methoden: voller überraschender Fragen, skeptisch, humorvoll und anwendungsorientiert. Sein Erfolg gibt ihm Recht.

Download or read book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation written by Masayuki Hirukawa and published by . This book was released on 2004 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Econometrics written by Badi H. Baltagi and published by Springer Science & Business Media. This book was released on 2007-11-21 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here at last is the fourth edition of the textbook that is required reading for economics students as well as those practising applied economics. Not only does it teach some of the basic econometric methods and the underlying assumptions behind them, but it also includes a simple and concise treatment of more advanced topics from spatial correlation to time series analysis. This book’s strength lies in its ability to present complex material in a simple, yet rigorous manner. This superb fourth edition updates identification and estimation methods in the simultaneous equation model. It also reviews the problem of weak instrumental variables as well as updating panel data methods.

Download or read book An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator written by Donald W. K. Andrews and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Applied Linear Regression written by Sanford Weisberg and published by John Wiley & Sons. This book was released on 2013-06-07 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master linear regression techniques with a new edition of a classic text Reviews of the Second Edition: "I found it enjoyable reading and so full of interesting material that even the well-informed reader will probably find something new . . . a necessity for all of those who do linear regression." —Technometrics, February 1987 "Overall, I feel that the book is a valuable addition to the now considerable list of texts on applied linear regression. It should be a strong contender as the leading text for a first serious course in regression analysis." —American Scientist, May–June 1987 Applied Linear Regression, Third Edition has been thoroughly updated to help students master the theory and applications of linear regression modeling. Focusing on model building, assessing fit and reliability, and drawing conclusions, the text demonstrates how to develop estimation, confidence, and testing procedures primarily through the use of least squares regression. To facilitate quick learning, the Third Edition stresses the use of graphical methods in an effort to find appropriate models and to better understand them. In that spirit, most analyses and homework problems use graphs for the discovery of structure as well as for the summarization of results. The Third Edition incorporates new material reflecting the latest advances, including: Use of smoothers to summarize a scatterplot Box-Cox and graphical methods for selecting transformations Use of the delta method for inference about complex combinations of parameters Computationally intensive methods and simulation, including the bootstrap method Expanded chapters on nonlinear and logistic regression Completely revised chapters on multiple regression, diagnostics, and generalizations of regression Readers will also find helpful pedagogical tools and learning aids, including: More than 100 exercises, most based on interesting real-world data Web primers demonstrating how to use standard statistical packages, including R, S-Plus®, SPSS®, SAS®, and JMP®, to work all the examples and exercises in the text A free online library for R and S-Plus that makes the methods discussed in the book easy to use With its focus on graphical methods and analysis, coupled with many practical examples and exercises, this is an excellent textbook for upper-level undergraduates and graduate students, who will quickly learn how to use linear regression analysis techniques to solve and gain insight into real-life problems.