Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis (Q4859656)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis |
scientific article; zbMATH DE number 830104
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis |
scientific article; zbMATH DE number 830104 |
Statements
Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis (English)
0 references
7 January 1996
0 references
Monte Carlo simulations
0 references
performance of Wald-type test statistics
0 references
heteroskedasticity consistent band covariance matrix estimator
0 references
Type I errors
0 references
quasi-maximum likelihood procedure
0 references
OLS residuals
0 references
0.7763665318489075
0 references
0.7573289275169373
0 references
0.7541907429695129
0 references
0.7508565187454224
0 references
