A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (Q3806654): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q59486377, #quickstatements; #temporary_batch_1707303357582 |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 12:46, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix |
scientific article |
Statements
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix (English)
0 references
1987
0 references
rational expectations models
0 references
asymptotic covariance matrix of the generalized method of moments estimator
0 references
