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
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- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, September.
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- 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, vol. 24(1), pages 93-107, January.
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Journal of Econometrics,
Elsevier, vol. 29(3), pages 305-325, September.
- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
- Begona Giner & Carmelo Reverte, 2001. "Valuation implications of capital structure: a contextual approach," European Accounting Review, Taylor & Francis Journals, vol. 10(2), pages 291-314.
- Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, 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, vol. 11(i10).
- King, Raymond D. & Langli, John Christian, 1998. "Accounting diversity and firm valuation," The International Journal of Accounting, Elsevier, vol. 33(5), pages 529-567.
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