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The heteroskedasticity-consistent covariance estimator in accounting

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  • José Curto

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  • José Pinto
  • Ana Morais
  • Isabel Lourenço
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    File URL: http://hdl.handle.net/10.1007/s11156-010-0212-1
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 37 (2011)
    Issue (Month): 4 (November)
    Pages: 427-449

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    Handle: RePEc:kap:rqfnac:v:37:y:2011:i:4:p:427-449

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Heteroskedasticity; Consistent estimator; Ohlson model; C52; M41; G20;

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    References

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    1. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
    2. 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.
    3. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    4. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
    5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    6. King, Raymond D. & Langli, John Christian, 1998. "Accounting diversity and firm valuation," The International Journal of Accounting, Elsevier, vol. 33(5), pages 529-567.
    7. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
    8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    9. 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.
    10. 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.
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