Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator

DOI10.1007/s11749-020-00719-xzbMath1474.62197OpenAlexW3033957472MaRDI QIDQ2666046

Jin Seo Cho, Lijuan Huo

Publication date: 22 November 2021

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-020-00719-x

zbMATH Keywords

heteroskedasticity-consistent covariance matrix estimatorinformation matrix equalityheteroskedasticity and autocorrelation-consistent covariance matrix estimatorsandwich-form covariance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Sequential statistical design (62L05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Bootstrap specification tests for dynamic conditional distribution models

Uses Software

• nlmdl

Cites Work

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