Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis (Q4859656)
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scientific article; zbMATH DE number 830104
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
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7 January 1996
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Monte Carlo simulations
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performance of Wald-type test statistics
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heteroskedasticity consistent band covariance matrix estimator
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Type I errors
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quasi-maximum likelihood procedure
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OLS residuals
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