A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
收藏NBER1986-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0055
下载链接
链接失效反馈官方服务：
资源简介：
This paper describes a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction. It also establishes consistency of the estimated covariance matrix under fairly general conditions.
提供机构：
美国国家经济研究局
创建时间：
1986-04-01
