A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
1986en
ABI
Аннотация
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.
Ҳали таржима қилинмаган
Идентификаторлар
Иқтибослар ва манбалар
2 та иқтибос0 та фойдаланилган манба