Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
نویسندگان
چکیده
منابع مشابه
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix
This paper considers spatial heteroskedasticity and autocorrelation consistent (spatial HAC) estimation of covariance matrices of parameter estimators. We generalize the spatial HAC estimators introduced by Kelejian and Prucha (2007) to apply to linear and nonlinear spatial models with moment conditions. We establish its consistency, rate of convergence and asymptotic truncated mean squared err...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2020
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2020.1796397