Inference about clustering and parametric assumptions in covariance matrix estimation

DOI10.1016/j.csda.2011.06.034zbMath1318.62182MaRDI QIDQ429607

Tony S. Wirjanto, Mikko Packalen

Publication date: 20 June 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.06.034

zbMATH Keywords

power; size; covariance matrix estimator; cluster-robust; finite samples; heteroskedasticity-robust

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62H20: Measures of association (correlation, canonical correlation, etc.)

62F10: Point estimation

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Cites Work

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