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Weighted empirical adaptive variance estimators for correlated data regression

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  • T. Lumley
  • P. Heagerty

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  • T. Lumley & P. Heagerty, 1999. "Weighted empirical adaptive variance estimators for correlated data regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 459-477.
  • Handle: RePEc:bla:jorssb:v:61:y:1999:i:2:p:459-477
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    Cited by:

    1. repec:eee:reensy:v:93:y:2008:i:6:p:897-912 is not listed on IDEAS
    2. Jens J. Krüger, 2016. "Radar scanning the world production frontier," Journal of Productivity Analysis, Springer, vol. 46(1), pages 1-13, August.
    3. Francesca Dominici & Lianne Sheppard & Merlise Clyde, 2003. "Health Effects of Air Pollution: A Statistical Review," International Statistical Review, International Statistical Institute, vol. 71(2), pages 243-276, August.
    4. Wu, Rongning, 2012. "On variance estimation in a negative binomial time series regression model," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 145-155.
    5. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    6. Krüger, Jens J., 2015. "Radar scanning the world production frontier," Darmstadt Discussion Papers in Economics 222, Darmstadt University of Technology, Department of Law and Economics.
    7. Zeileis, Achim, 2004. "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 11(i10).
    8. Zeileis, Achim, 2006. "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 16(i09).
    9. Javier Contreras-Reyes & Wilfredo Palma, 2013. "Statistical analysis of autoregressive fractionally integrated moving average models in R," Computational Statistics, Springer, vol. 28(5), pages 2309-2331, October.
    10. Lucio Capitani & Leo Pasquazzi, 2015. "Inference for performance measures for financial assets," METRON, Springer;Sapienza Università di Roma, vol. 73(1), pages 73-98, April.

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