The heteroskedasticity-consistent covariance estimator in accounting
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Volume (Year): 37 (2011)
Issue (Month): 4 (November)
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- 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.
- King, Raymond D. & Langli, John Christian, 1998. "Accounting diversity and firm valuation," The International Journal of Accounting, Elsevier, vol. 33(5), pages 529-567.
- 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.
- 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.
- 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.
- Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
- 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.
- Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- 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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