A heteroscedasticity-consistent covariance matrix estimator for time series regressions

DOI10.1016/0304-4076(83)90104-5MaRDI QIDQ1053403zbMATH OpenOpenAlexFDO

Authors David A. Hsieh

Publication date 1983

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(83)90104-5

zbMATH Keywords

heteroscedasticitycovariance matrix estimatorMonte Carlo experimentsordinary least squares coefficientstime series regressions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3620754 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• scientific article; zbMATH DE number 3366405 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Large Sample Properties of Generalized Method of Moments Estimators

Cited in

(5)

• On improving the robustness and reliability of Rao's score test
• Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Testing for GARCH effects: A one-sided approach
• Testing for conditional heteroskedasticity with misspecified alternative hypotheses

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