Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data
收藏NBER1990-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0062
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资源简介：
This paper provides a simple method to account for heteroskesdasticity and cross-sectional dependence in samples with large cross sections and relatively few time series observations. The estimators we derive are motivated by cross-sectional regression studies in finance and accounting. Simulation
提供机构：
美国国家经济研究局
创建时间：
1990-03-01
