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The heteroskedasticity-consistent covariance estimator in accounting
Curto, José Dias; Pinto, José Castro; Morais, Ana Isabel - In: Review of quantitative finance and accounting 37 (2011) 4, pp. 427-449
Persistent link: https://www.econbiz.de/10009504945
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The Heteroskedasticity-Consistent Covariance Estimator in Accounting
Curto, Jose Dias - 2016
The main purpose of this paper is to compare the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator with alternative estimators. Many regression packages compute the White (1980) heteroskedasticity-consistent (HC) covariance matrix estimator. The common procedure in...
Persistent link: https://www.econbiz.de/10013006879