Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis

DOI10.2307/2527369zbMATH Open0836.62109OpenAlexW2041782997MaRDI QIDQ4859656FDOQ4859656

Authors: Antonio V. Ligeralde, Bryan Brown 

Publication date: 7 January 1996

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2527369

Recommendations

• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Improved heteroscedasticity-consistent covariance matrix estimators
• scientific article; zbMATH DE number 1211744

zbMATH Keywords

Monte Carlo simulationsOLS residualsheteroskedasticity consistent band covariance matrix estimatorperformance of Wald-type test statisticsquasi-maximum likelihood procedureType I errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Cited In (4)

• An improved banded estimation for large covariance matrix
• Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
• Simple foreign exchange market efficiency revisited
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices

This page was built for publication: Band Covariance Matrix Estimation Using Restricted Residuals: A Monte Carlo Analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4859656)