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 Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator with Improved Finite Sample Properties written by Jose Passos and published by . This book was released on 1995 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator with Improved Finite sample Properties written by José Passos and published by . This book was released on 1995 with total page 30 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 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 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 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 Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix written by Yixiao Sun and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment conditions. We establish its consistency, rate of convergence and asymptotic truncated mean squared error (MSE). Based on the asymptotic truncated MSE criterion, we derive the optimal bandwidth parameter and suggest its data dependent estimation procedure using a parametric plug-in method. The finite sample performances of the spatial HAC estimator are evaluated via Monte Carlo simulation.

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 Robust Covariance Matrix Estimation with Data dependent VAR Prewhitening Order written by Wouter J. Den Haan and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator.

Download or read book Finite sample Performance of the Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimators written by José Passos and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Simple Positive Semi definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix written by Whitney K. Newey and published by . This book was released on 1986 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 under fairly general conditions.

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 Paul A Samuelson written by John Cunningham Wood and published by Taylor & Francis. This book was released on 2005 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: Samuelson is a key figure in economic thinking. This gathers the essential assessments of this important economist, and provides an unparalleled insight into his lasting impact on economics.

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 Econometric Theory and Practice written by P. C. B. Phillips and published by Cambridge University Press. This book was released on 2006-01-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essays in this book explore important theoretical and applied advances in econometrics.

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: