Covariance matrix estimation and the power of the overidentifying restrictions test

Econometrica

Volumn 68, Issue 6, 2000, Pages 1517-1527

  Hall, Alastair R ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001022794     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00171     Document Type: Article

References (14)

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11. NEWEY, W. K., AND K. D. WEST (1987): "A Simple Positive Semi-definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
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14. WOOLDRIDGE, J. M. (1994): "Estimation and Inference for Dependent Processes," in Handbook of Econometrics, Vol. 4, ed. by R. Engle and D. L. McFadden. Amsterdam, The Netherlands: Elsevier Science Publishers, pp. 2641-2739.