A heteroscedasticity-consistent covariance matrix estimator for time series regressions

DOI10.1016/0304-4076(83)90104-5zbMath0517.62085OpenAlexW2032834832MaRDI QIDQ1053403

David A. Hsieh

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90104-5

zbMATH Keywords

heteroscedasticityMonte Carlo experimentscovariance matrix estimatorordinary least squares coefficientstime series regressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Some results on the Glejser and Koenker tests for heteroskedasticity, Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients, On improving the robustness and reliability of Rao's score test, Testing for conditional heteroskedasticity with misspecified alternative hypotheses, Testing for GARCH effects: A one-sided approach

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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