Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
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Publication:4530995
DOI10.1111/1468-0262.00171zbMath1015.62123OpenAlexW2161108673MaRDI QIDQ4530995
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1468-0262.00171
model misspecificationoveridentifying restrictions testheteroscedasticity and autocorrelation consistent covariance matrix estimators
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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