Estimation of SEs for heteroscedastic and cross-sectionally correlated data
This study develops SE estimators for heteroscedastic and cross-sectionally correlated data. The new estimators are a cross-sectional version of the White and Domowitz (1984) and Newey and West (1987) estimators, and therefore, consistent in the presence of heteroscedasticity and cross correlation of unknown form. Unlike the estimators in the literature, these estimators can control for cross correlation even for single-period cross-sectional data.
Volume (Year): 42 (2010)
Issue (Month): 14 ()
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