Using heteroskedasticity-consistent standard error estimators in OLS OLS采用异方差一致的标准误差估计 文档格式: .pdf 文档大小: 253.44K 文档页数: 14页 顶/踩数: 0/0 收藏人数: 0 评论次数: 0 文档热度: 文档分类: 论文--毕业论文 文档标签:
Consistent Standard Errors Lecture 9 ‐ 2, July 21, 2008 Outline 1. What are HAC SE’s and why are they needed? 2. Parametric and Nonparametric Estimators 3. Some Estimation Issues (psd, lag choice, etc.) 4. Inconsistent Estimators Lecture 9 ‐ 3, July 21, 2008 1. What ar...
The primary aim of the paper is to investigate the error-reliability of F tests that use Heteroskedasticity-Consistent Standard Errors (HCSE) and Het- eroskedasticity and Autocorrelation-Consistent Standard Errors (HACSE) us- ing Monte Carlo simulations. For the design of the appropriate simulation...
Subject st: Heteroskedasticity-consistent standard errors for a VAR Date Sat, 8 Sep 2012 22:59:19 +0200Dear All, I would like to perform a VAR with White standard errors. I found many references on how to do in RATS, Eviews and SAS but I was unable to find any reference for Stata....
First of all: don't use OLS (-regress- in Stata) for panel data; use -xtreg- instead. You can get heteroskedasticity-consistent standard errors by adding the -vce(robust)- option to your -xtreg- model. Hope this helps, Maarten --- Maarten L. Buis Department of Social Research Methodolo...
Standard ErrorsInferenceIn the presence of heteroskedasticity, conventional test statistics based on the ordinary least square estimator lead to incorrect inference results for the lindoi:10.2139/ssrn.3074765Taspinar, SuleymanDogan, OsmanBera, Anil K...
We conclude that HC standard errors increase when finite-samples more appropriate estimators are considered and in the most part of countries the Ohlson () model coefficients estimates became statistically insignificant. This can be explained by the high leverage points in the design matrix. To the ...
HCCM (redirected fromHeteroskedasticity-Consistent Covariance Matrix) AcronymDefinition HCCMHispanic Chamber of Commerce of Minnesota(Minneapolis, MN) HCCMHill Country Community Ministries(Leander, TX) HCCMHeteroskedasticity-Consistent Covariance Matrix
Furthermore, tests indicated the presence of heteroskedasticity, so we estimated the OLS regressions with standard errors impervious to heteroskedasticity using the White’s estimator (White, 1980). One definite source for the heteroskedasticity is that the error variance is affected by spatial dependence...
In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors t... Y Sun,PCB Phillips,S Jin - Department of Economics, UC San Diego 被引量: 323发表: 2005年 Panel Unit Root Tests in the Presence of Cro...