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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/pii/0304-4076(83)90104-5
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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    Cited by:

    1. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    2. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
    3. Jeffrey M. Woodridge, 1988. "A Unified Approach to Robust, Regression-Based Specification Tests," Working papers 480, Massachusetts Institute of Technology (MIT), Department of Economics.
    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. 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.
    6. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
    7. 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.
    8. Demos, Antonis & Sentana, Enrique, 1998. "Testing for GARCH effects: a one-sided approach," Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
    9. 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.

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