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Asymptotic inference under heteroskedasticity of unknown form

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Cribari-Neto, Francisco
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 45 (2004)
Issue (Month): 2 (March)
Pages: 215-233
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Handle: RePEc:eee:csdana:v:45:y:2004:i:2:p:215-233

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  1. Achim Zeileis, 2004. "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(10), November. [Downloadable!]
  2. Olaf Posch, 2006. "Explaining Output Volatility: the Case of Taxation," Quantitative Macroeconomics Working Papers 20608, Hamburg University, Department of Economics. [Downloadable!]
    Other versions:
  3. Achim Zeileis, 2006. "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, American Statistical Association, vol. 16(09), 08. [Downloadable!]
  4. Dale Poirier, 2008. "Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap," Working Papers 080905, University of California-Irvine, Department of Economics. [Downloadable!]
  5. Giovanni Millo & Yves Croissant, 2008. "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(02), 07. [Downloadable!]
  6. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics. [Downloadable!]
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