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

DOI10.2307/2527369zbMath0836.62109OpenAlexW2041782997MaRDI QIDQ4859656

Antonio V. Ligeralde, Bryan W. 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

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

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

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