The heteroskedasticity-consistent covariance estimator in accounting

Review of Quantitative Finance and Accounting

Volumn 37, Issue 4, 2011, Pages 427-449

  Curto, José Dias ^a   Pinto, José Castro ^a   Morais, Ana Isabel ^a   Lourenço, Isabel Maria ^a  

^a UNIVERSITY INSTITUTE OF LISBON   (Portugal)

Author keywords

Consistent estimator; Heteroskedasticity; Ohlson model

Indexed keywords

EID: 80255135592     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-010-0212-1     Document Type: Article

References (33)

1. Arce M, Mora A (2002) Empirical evidence of the effect of European accounting differences on the stock market valuation of earnings and book value. Eur Acc Rev 11(3): 573-599.
2. Barth M, Clinch G (1998) Revalued financial, tangible, and intangible assets: associations with share prices and non-market-based value estimates. J Acc Res 36: 199-233 (Supplement).
3. Barth ME, Kallapur S (1996) Effects of cross-sectional scale differences on regression results in empirical accounting research. Contemp Acc Res 13: 527-567.
4. Belaire-Franch J, Opong KK (2005) A variance ratio test of the behaviour of some FTSE equity indices using ranks and signs. Rev Quant Finance Acc 24: 93-107.
5. Brown S, Lo K, Lys T (1998) Use of R2 in accounting research: measuring changes in value relevance over the last four decades. J Acc Econ 28: 83-115.
6. Chesher A, Jewitt I (1987) The bias of a heteroskedasticity consistent covariance matrix estimator. Econometrica 55: 1217-1222.
7. Coggin TD, Hunter JE (1993) A meta-analysis of mutual fund performance. Rev Quant Finance Acc 3(2): 189-201.
8. Collins DW, Maydew EL, Weiss IS (1997) Changes in the value-relevance of earnings and equity book values over the past forty years. J Acc Econ 24(1): 39-67.
9. Cribari-Neto F (2004) Asymptotic inference under heteroskedasticity of unknown form. Comput Stat Data Anal 45: 215-233.
10. Cribari-Neto F, Zarkos SG (1999) Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing. Econom Rev 18: 211-228.
11. Cribari-Neto F, Zarkos SG (2001) Heteroskedasticity-consistent covariance matrix estimation: White's estimator and the bootstrap. J Stat Comput Simul 68: 391-411.
12. Davidson R, MacKinnon JG (1993) Estimation and inference in econometrics. Oxford University Press, New York.
13. Eicker B (1963) Limit theorems for regression with unequal and dependant errors. Ann Math Stat 34: 447-456.
14. Furno M (1997) A robust heteroskedasticity consistent covariance matrix estimator. Statistics 30: 201-219.
15. Giner B, Reverte C (2001) Valuation implications of capital structure: a. contextual approach. Eur Acc Rev 10(2): 291-314.
16. Godfrey LG (2006) Tests for regression models with heteroskedasticity of unknown form. Comput Stat Data Anal 50: 2715-2733.
17. Hinkley DV (1977) Jackknifing in unbalanced situations. Technometrics 19: 285-292.
18. Hoaglin DC, Welsch RE (1978) The hat matrix in regression and ANOVA. Am Stat 32: 17-22.
19. Hocking R (1983) Methods and applications of linear models, regression and the analysis of variance, 2nd edn. Wiley, .
20. Horn SD, Horn RA, Duncan DB (1975) Estimating heteroscedastic variances in linear Models. J Am Stat Assoc 70: 308-385.
21. Joos P, Lang M (1994) The effects of accounting diversity: evidence from the European union. J Acc Res 32: 141-168 (Supplement).
22. King RD, Langli JC (1998) Accounting diversity and firm valuation. Int J Acc 33(5): 529-567.
23. Lee TY, Wirjanto TS (1998) On the efficiency of conditional heteroskedasticity models. Rev Quant Finance Acc 10: 21-37.
24. Lev B, Thiagarajanf R (1983) Fundamental information analysis. J Acc Res 31(2): 190-215.
25. Long JS, Ervin LH (2000) Using heteroskedasticity consistent standard errors in the linear regression model. Am Stat 54: 217-224.
26. MacKinnon JG, White HL (1985) Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties. J Econom 21: 53-70.
27. Ohlson J (1995) Earnings, book values, and dividends in security valuation. Contemp Acc Res 11: 661-688.
28. Rousseeuw PJ, Leroy AM (1987) Robust regression and outlier detection. Wiley, New York.
29. Sanders WS, Robins RP (1991) Discriminating between wealth and information effects in events studies in accounting and finance research. Rev Quant Finance Acc 1: 307-329.
30. Tung S (1998) Economic income versus accounting income. Rev Pac Basin Financ Markets Pol 1(4): 545-553.
31. White H (1980) Heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48(4): 817-838.
32. Wooldridge JM (2000) Introductory econometrics: a modern approach. South-Western College Publishing, New York.
33. Zeileis A (2004) Econometric computing with HC and HAC covariance matrix estimators. J Stat Softw 11(10): 1-17.