A heteroscedasticity-consistent covariance matrix estimator for time series regressions

DOI10.1016/0304-4076(83)90104-5zbMATH Open0517.62085OpenAlexW2032834832MaRDI QIDQ1053403FDOQ1053403

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

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

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

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