SCOPUS 정보 검색 플랫폼

Volumn 30, Issue 3, 1997, Pages 201-219

A robust heteroskedasticity consistent covariance matrix estimator

b NONE (Italy)

Author keywords

Covariance matrix; Heteroskedasticity; Outliers; Robust estimators

Indexed keywords

EID: 3643099422 PISSN: 02331888 EISSN: None Source Type: Journal
DOI: 10.1080/02331889708802610 Document Type: Article

Times cited : (8)

References (12)

1
- 0001758906
- Heteroskedasticity and autocorrelation consistent covariance matrix estimation
- Andrews, D. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation, Econometrica, 59, 817-858.
- (1991) Econometrica , vol.59 , pp. 817-858
- Andrews, D.¹

2
- 0000782628
- Robust estimation in heteroskedastic linear models
- Carroll, R. J. and Ruppert, D. (1982) Robust estimation in heteroskedastic linear models, Annals of Statistics, 10, 429-441.
- (1982) Annals of Statistics , vol.10 , pp. 429-441
- Carroll, R.J.¹ Ruppert, D.²

3
- 0000451048
- The bias of a heteroskedasticity consistent covariance matrix estimator
- Chesher, A. and Jewitt, I. (1987) The bias of a heteroskedasticity consistent covariance matrix estimator, Econometrica, 55, 1217-1222.
- (1987) Econometrica , vol.55 , pp. 1217-1222
- Chesher, A.¹ Jewitt, I.²

4
- 0001595294
- The finite-sample distributions of heteroskedasticity robust Wald statistics
- Chesher, A. and Austin, G. (1991) The finite-sample distributions of heteroskedasticity robust Wald statistics, Journ. Econometrics, 47, 153-174.
- (1991) Journ. Econometrics , vol.47 , pp. 153-174
- Chesher, A.¹ Austin, G.²

5
- 38249010291
- Quasi-Aitken estimation for heteroskedasticity of unknown form
- Cragg, J. G. (1992) Quasi-Aitken estimation for heteroskedasticity of unknown form, Journ. Econometrics, 54, 179-201.
- (1992) Journ. Econometrics , vol.54 , pp. 179-201
- Cragg, J.G.¹

6
- 38249015963
- Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality
- Evans, M. (1992) Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality, Journ. Econometrics, 51, 7-24.
- (1992) Journ. Econometrics , vol.51 , pp. 7-24
- Evans, M.¹

8
- 0002661885
- Optimally bounding gross-error-sensitivity and the influence of position in factor space
- Hampel, F. (1978) Optimally bounding gross-error-sensitivity and the influence of position in factor space, Proceedings American Statistical Association, Statistical Computing, 59-64.
- (1978) Proceedings American Statistical Association, Statistical Computing , pp. 59-64
- Hampel, F.¹

9
- 84948493784
- Jackknifing in unbalanced situations
- Hinkley, D. V. (1977) Jackknifing in unbalanced situations, Technometrics, 19, 285-292.
- (1977) Technometrics , vol.19 , pp. 285-292
- Hinkley, D.V.¹

10
- 84971995720
- Covariance matrix of the least squares regression coefficients when the distrubance covariance matrix is of unknown form
- Keener, R., Kmenta, J. and Weber, N. (1991) Covariance matrix of the least squares regression coefficients when the distrubance covariance matrix is of unknown form, Econometric Theory, 22-45.
- (1991) Econometric Theory , pp. 22-45
- Keener, R.¹ Kmenta, J.² Weber, N.³

11
- 0000921289
- Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
- MacKinnon, J. and White, H. (1985) Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties, Journ. Econometrics, 29, 305-325.
- (1985) Journ. Econometrics , vol.29 , pp. 305-325
- MacKinnon, J.¹ White, H.²

12
- 0000095552
- A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
- White, H. (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica, 48, 817-838.
- (1980) Econometrica , vol.48 , pp. 817-838
- White, H.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.