A computationally simple heteroskedasticity and serial correlation robust standard error for the linear regression model
From MaRDI portal
Publication:1676625
DOI10.1016/0165-1765(89)90007-4zbMath1384.62254OpenAlexW2035165524WikidataQ127680338 ScholiaQ127680338MaRDI QIDQ1676625
Publication date: 9 November 2017
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(89)90007-4
Related Items
Short run and long run causality in time series: inference, Hypothesis testing in the presence of nuisance parameters, On the application of robust, regression-based diagnostics to models of conditional means and conditional variances, A note on computing \(r\)-squared and adjusted \(r\)-squared for trending and seasonal data, On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Nonlinear Regression with Dependent Observations
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- The Power of the Likelihood Ratio Test of Location in Nonlinear Regression Models
- Specification Tests in Econometrics