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Various versatile variances : an object-oriented implementation of clustered covariances in R

Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017

Clustered covariances or clustered standard errors are very widely used to account for correlated or clustered data, especially in economics, political sciences, or other social sciences. They are employed to adjust the inference following estimation of a standard least-squares regression or...

Persistent link: https://www.econbiz.de/10011697332

Leverage, influence, and the jackknife in clustered regression models : reliable inference using summclust

MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022

Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...

Persistent link: https://www.econbiz.de/10013169182

Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions

Dufour, Jean-Marie; Khalaf, Lynda - 2000

Persistent link: https://www.econbiz.de/10001504719

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

Persistent link: https://www.econbiz.de/10010344500

An algorithm for the multivariate group lasso with covariance estimation

Wilms, I.; Croux, Christophe - 2015

Persistent link: https://www.econbiz.de/10011658494

Spatial multivariate regressions with panel data

Mendonça, Mário Jorge; Medrano, Luis Alberto Toscano - 2016

spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …

Persistent link: https://www.econbiz.de/10012059270

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Persistent link: https://www.econbiz.de/10001555314

Level-slope-curvature : fact or artefact?

Lord, Roger; Pelsser, Antoon André Jean - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10011346478

Modeling and forecasting the co-movement of international yield curve drivers

Sprincenatu, Maria - 2019

Persistent link: https://www.econbiz.de/10012172917

Practical correlation bias correction in two-way fixed effects linear regression

Gaure, Simen - 2014 - This version August 2014

When doing two-way fixed effects OLS estimations, both the variances and covariance of the fixed effects are biased. A formula for a bias correction is known, but in large datasets it involves inverses of impractically large matrices. We detail how to compute the bias correction in this case.

Persistent link: https://www.econbiz.de/10010418197