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Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
Author(s) -
Hall Alastair R.
Publication year - 2000
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/1468-0262.00171
Subject(s) - heteroscedasticity , mathematics , mathematical economics , covariance matrix , econometrics , generalized method of moments , matrix (chemical analysis) , statistics , panel data , materials science , composite material
requires the construction of a positive semidefinite consistent estimator of the long run covariance matrix of the sample moment. Unless the economic model implies a certain form for this covariance matrix, it is desirable to use an estimator that is consistent under the weakest possible conditions. This requirement has motivated the development of the class of heteroscedasticity and autocorrelation consistent covariance HACC matrix