Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix

DOI10.1016/J.JECONOM.2010.10.002zbMath1441.62775OpenAlexW3125874577MaRDI QIDQ737290

Yixiao Sun, Min Seong Kim

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.10.002

zbMATH Keywords

spatial dependencecovariance matrix estimatorrobust standard errorasymptotic mean squared errorheteroskedasticity and autocorrelationoptimal bandwidth choice

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (14)

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