Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data
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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
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美国国家经济研究局创建时间：
1990-03-01
