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A heteroscedasticity-consistent covariance matrix estimator for time series regressions

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  • Hsieh, David A.
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4582HJG-3/2/58daac94f3110e0b4c438506db5fab9a
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 22 (1983)
    Issue (Month): 3 (August)
    Pages: 281-290

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    Handle: RePEc:eee:econom:v:22:y:1983:i:3:p:281-290

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    Web page: http://www.elsevier.com/locate/jeconom

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    Cited by:
    1. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
    2. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
    3. Daniel Edelman & William Fung & David Hsieh & Narayan Naik, 2012. "Funds of hedge funds: performance, risk and capital formation 2005 to 2010," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 87-108, March.
    4. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
    5. Alan Collins & Steve Burt, 2006. "Private brands, governance, and relational exchange within retailer-manufacturer relationships: Evidence from Irish food manufacturers supplying the Irish and British grocery markets," Agribusiness, John Wiley & Sons, Ltd., vol. 22(1), pages 1-20.
    6. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.

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