The heteroskedasticity-consistent covariance estimator in accounting
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 37 (2011)
Issue (Month): 4 (November)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Heteroskedasticity; Consistent estimator; Ohlson model; C52; M41; G20;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
- G20 - Financial Economics - - Financial Institutions and Services - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, Econometric Society, vol. 48(4), pages 817-38, May.
- Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 45(2), pages 215-233, March.
- Begona Giner & Carmelo Reverte, 2001. "Valuation implications of capital structure: a contextual approach," European Accounting Review, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(2), pages 291-314.
- King, Raymond D. & Langli, John Christian, 1998. "Accounting diversity and firm valuation," The International Journal of Accounting, Elsevier, vol. 33(5), pages 529-567.
- Jorge Belaire-Franch & Kwaku Opong, 2005. "A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 24(1), pages 93-107, January.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, Econometric Society, vol. 55(5), pages 1217-22, September.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195060119, October.
- James G. MacKinnon & Halbert White, 1983.
"Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties,"
Working Papers, Queen's University, Department of Economics
537, Queen's University, Department of Economics.
- MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, Elsevier, vol. 29(3), pages 305-325, September.
- Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(10), pages 2715-2733, June.
- Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 11(i10).
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