Heteroscedasticity and Autocorrelation Robust F and t Tests in Stata
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- Xiaoqing Ye & Yixiao Sun, 2018. "Heteroskedasticity- and autocorrelation-robust F and t tests in Stata," Stata Journal, StataCorp LP, vol. 18(4), pages 951-980, December.
References listed on IDEAS
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- Artur Doshchyn, 2023. "Sinking Ships: Illiquidity and the Predictability of Returns on Real Assets in Recessions," Economics Series Working Papers 1028, University of Oxford, Department of Economics.
- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
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Social and Behavioral Sciences;NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-04-22 (Econometrics)
- NEP-ETS-2019-04-22 (Econometric Time Series)
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