Size Matters: Covariance Matrix Estimation Under The Alternative
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Other versions of this item:
- Jason Allen, 2007. "Size matters: covariance matrix estimation under the alternative," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 637-644, November.
More about this item
KeywordsSize; Power; GMM; Overidentifying restrictions;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2006-10-14 (Econometrics)
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