Estimation of SEs for heteroscedastic and cross-sectionally correlated data

Estimation of SEs for heteroscedastic and cross-sectionally correlated data

This study develops SE estimators for heteroscedastic and cross-sectionally correlated data. The new estimators are a cross-sectional version of the White and Domowitz ( 1984 ) and Newey and West ( 1987 ) estimators, and therefore, consistent in the presence of heteroscedasticity and cross correlati...

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Veröffentlicht in:Applied economics 2010-05, Vol.42 (14), p.1825-1832
1. Verfasser: Min, Chung-Ki
Format: Artikel
Sprache:eng
Schlagworte:
Correlation
Correlation analysis
Cross-sectional analysis
Data analysis
Economic models
Estimating techniques
Statistics
Studies
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Beschreibung
Zusammenfassung:This study develops SE estimators for heteroscedastic and cross-sectionally correlated data. The new estimators are a cross-sectional version of the White and Domowitz ( 1984 ) and Newey and West ( 1987 ) estimators, and therefore, consistent in the presence of heteroscedasticity and cross correlation of unknown form. Unlike the estimators in the literature, these estimators can control for cross correlation even for single-period cross-sectional data.
ISSN:0003-6846
1466-4283
DOI:10.1080/00036840701736172