The performance of robust heteroscedasticity consistent covariance matrix estimator
The weighted least squares (WLS) method together with heteroscedasticity consistent covariance matrix (HCCM) estimator is often used to estimate the parameters of a heteroscedastic regression model when the form of errors structure is unknown. However, WLS based on weight determined by hat matrix su...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2019
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| Online Access: | http://psasir.upm.edu.my/id/eprint/70697/1/7.pdf |