Inference about clustering and parametric assumptions in covariance matrix estimation

DOI10.1016/j.csda.2011.06.034zbMath1318.62182OpenAlexW2001655697MaRDI QIDQ429607

Tony S. Wirjanto, Mikko Packalen

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.034

zbMATH Keywords

powersizecovariance matrix estimatorcluster-robustfinite samplesheteroskedasticity-robust

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10)

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The structure of autocovariance matrix of discrete time subfractional Brownian motion

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
• Robust tests for heteroskedasticity in the one-way error components model
• On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
• Testing for heteroskedasticity and serial correlation in a random effects panel data model
• How Much Should We Trust Differences-In-Differences Estimates?
• The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors
• Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
• Maximum Likelihood Estimation of Misspecified Models

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