Estimating covariances of parameter estimates from different models

DOI10.1016/0165-1765(88)90029-8zbMath1328.62139OpenAlexW2015648386MaRDI QIDQ900071

Robert W. Turner, Mark L. Rockel

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(88)90029-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Statistical methods; economic indices and measures (91B82)

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Generalized method of moments specification testing
• Maximum Likelihood Estimation of Misspecified Models