Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix
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Cites work
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Automatic Lag Selection in Covariance Matrix Estimation
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Bootstrap procedures under some non-i.i.d. models
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
- GMM estimation with cross sectional dependence
- HAC estimation in a spatial framework
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Nonparametric spectrum estimation for spatial data
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Spatial Price Competition: A Semiparametric Approach
- Spatial correlation robust inference with errors in location or distance
- The wild bootstrap, tamed at last
Cited in
(24)- Bootstrap inference under cross‐sectional dependence
- Robust Inference for Diffusion-Index Forecasts With Cross-Sectionally Dependent Data
- HAC estimation in spatial panels
- Simultaneous statistical inference for second order parameters of time series under weak conditions
- Inference on difference-in-differences average treatment effects: a fixed-\(b\) approach
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
- Estimation of spatial sample selection models: a partial maximum likelihood approach
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Limit theorems for network dependent random variables
- Maximum likelihood estimation of a spatial autoregressive model for origin-destination flow variables
- scientific article; zbMATH DE number 66191 (Why is no real title available?)
- Spatial correlation robust inference
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Fixed-\(b\) asymptotics for spatially dependent robust nonparametric covariance matrix estimators
- Covariance estimation under spatial dependence
- Automatic Lag Selection in Covariance Matrix Estimation
- Heteroskedasticity, autocorrelation, and spatial correlation robust inference in linear panel models with fixed-effects
- A likelihood ratio test for spatial model selection
- Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
- Small-sample inference with spatial HAC estimators
- Covariances among join-count spatial autocorrelation measures
- Autoregressive spatial spectral estimates
- Spatial Correlation Robust Inference in Linear Regression and Panel Models
- Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
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