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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

โœ Scribed by Whitney K. Newey and Kenneth D. West

Book ID
121741820
Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
189 KB
Volume
55
Category
Article
ISSN
0012-9682

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๐Ÿ“œ SIMILAR VOLUMES

A Heteroskedasticity-Consistent Covarian
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โœ Halbert White ๐Ÿ“‚ Article ๐Ÿ“… 1980 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 450 KB

## BY HALBERT WHITE1 This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of