Econometric computing with HC and HAC covariance matrix estimators

Journal of Statistical Software

Volumn 11, Issue , 2004, Pages 1-17

  Zeileis, Achim ^a  

^a VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

Autocorrelation; Covariance matrix estimators; Econometric computing; Estimating functions; Heteroskedasticity; R

Indexed keywords

EID: 11244261713     PISSN: 15487660     EISSN: None     Source Type: Journal    
DOI: 10.18637/jss.v011.i10     Document Type: Article

References (25)

1. Andrews DWK (1991). "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation." Econometrica, 59, 817-858.
2. Andrews DWK (1993). "Tests for Parameter Instability and Structural Change With Unknown Change Point." Econometrica, 61, 821-856.
3. Andrews DWK, Monahan JC (1992). "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator." Econometrica, 60(4), 953-966.
4. Bai J, Perron P (2003). "Computation and Analysis of Multiple Structural Change Models." Journal of Applied Econometrics, 18, 1-22.
5. Cribari-Neto F (2004). "Asymptotic Inference Under Heteroskedasticity of Unknown Form." Computational Statistics & Data Analysis, 45, 215-233.
6. Cribari-Neto F, Zarkos SG (1999). "R: Yet Another Econometric Programming Environment." Journal of Applied Econometrics, 14, 319-329.
7. Cribari-Neto F, Zarkos SG (2003). "Econometric and Statistical Computing Using Ox." Computational Economics, 21, 277-295.
8. Eicker F (1963). "Asymptotic Normality and Consistency of the Least Squares Estimator for Families of Linear Regressions." Annals of Mathematical Statistics, 34, 447-456.
9. Fox J (2002). An R and S-PLUS Companion to Applied Regression. Sage Publications, Thousand Oaks, CA.
10. Greene WH (1993). Econometric Analysis. Macmillan Publishing Company, New York, 2nd edition.
11. Long JS, Ervin LH (2000). "Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model." The American Statistician, 54, 217-224.
12. Lumley T, Heagerty P (1999). "Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression." Journal of the Royal Statistical Society B, 61, 459-477.
13. MacKinnon JG, White H (1985). "Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties." Journal of Econometrics, 29, 305-325.
14. Newey WK, West KD (1987). "A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55, 703-708.
15. Newey WK, West KD (1994). "Automatic Lag Selection in Covariance Matrix Estimation." Review of Economic Studies, 61, 631-653.
16. Ploberger W, Krämer W (1992). "The CUSUM Test With OLS Residuals." Econometrica, 60, 271-285.
17. Racine J, Hyndman R (2002). "Using R to Teach Econometrics." Journal of Applied Econometrics, 17, 175-189.
18. R Development Core Team (2004). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3-900051-00-3, URL http://www.R-project.org/.
19. White H (1980). "A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity." Econometrica, 48, 817-838.
20. White H (2000). Asymptotic Theory for Econometricians. Academic Press, New York, revised edition.
21. White H, Domowitz I (1984). "Nonlinear Regression with Dependent Observations." Econometrica, 52, 143-161.
22. Zeileis A (2004). "Implementing a Class of Structural Change Tests: An Econometric Computing Approach." Report 7, Department of Statistics and Mathematics, Wirtschaftsuniversität Wien, Research Report Series. URL http://epub.wu-wien.ac.at/.
23. Zeileis A, Hothorn T (2002). "Diagnostic Checking in Regression Relationships." R News, 2(3), 7-10. URL http://CRAN.R-project.org/doc/ Rnews/.
24. Zeileis A, Kleiber C (2004). "Validating Multiple Structural Change Models - A Case Study." Journal of Applied Econometrics. Forthcoming.
25. Zeileis A, Leisch F, Hornik K, Kleiber C (2002). "strucchange: An R Package for Testing for Structural Change in Linear Regression Models." Journal of Statistical Software, 7(2), 1-38. URL http://www.jstatsoft.org/v07/ i02/.