Robust M tests without consistent estimation of the asymptotic covariance matrix

Journal of the American Statistical Association

Volumn 101, Issue 475, 2006, Pages 1264-1275

  Kuan, Chung Ming ^a   Lee, Wei Ming ^b  

^a INSTITUTE OF ECONOMICS   (Taiwan)

^b NATIONAL CHUNG CHENG UNIVERSITY   (Taiwan)

Author keywords

Information matrix test: M test; Newey West estimator; Recursive estimator; Test for serial correlations

Indexed keywords

EID: 33748872646     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214506000000375     Document Type: Review

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