A simulation-based evidence on the improved performance of a new modified leverage adjusted heteroskedastic consistent covariance matrix estimator in the linear regression model
In this paper, we present a new heteroskedastic consistent (HC) covariance matrix estimator which considers the effect of leverage observations and which has a better approximation of its true asymptotic distribution. We point out that the basic motivation behind this new modified HC estimator is t...
Αποθηκεύτηκε σε:
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
Elsevier
2018-08-01
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| Σειρά: | Kuwait Journal of Science |
| Θέματα: | |
| Διαθέσιμο Online: | https://journalskuwait.org/kjs/index.php/KJS/article/view/1962 |
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