Econometric Computing with HC and HAC Covariance Matrix Estimators
Author
Abstract
Suggested Citation
DOI: http://hdl.handle.net/10.18637/jss.v011.i10
Download full text from publisher
References listed on IDEAS
- Christian Kleiber & Achim Zeileis, 2005.
"Validating multiple structural change models-a case study,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 685-690.
- Kleiber, Christian & Zeileis, Achim, 2004. "Validating multiple structural change models : A case study," Technical Reports 2004,34, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kleiber Christian & Zeileis Achim, 2010.
"The Grunfeld Data at 50,"
German Economic Review, De Gruyter, vol. 11(4), pages 404-417, December.
- Christian Kleiber & Achim Zeileis, 2010. "The Grunfeld Data at 50," German Economic Review, Verein für Socialpolitik, vol. 11(4), pages 404-417, November.
- Kleiber, Christian & Zeileis, Achim, 2010. "The Grunfeld Data at 50," MPRA Paper 20841, University Library of Munich, Germany.
- A. Yalta & A. Yalta, 2010.
"Should Economists Use Open Source Software for Doing Research?,"
Computational Economics, Springer;Society for Computational Economics, vol. 35(4), pages 371-394, April.
- A. Talha Yalta & A. Yasemin Yalta, 2010. "Should Economists Use Open Source Software for Doing Research?," Working Papers 1007, TOBB University of Economics and Technology, Department of Economics.
- A. Talha Yalta & A. Yasemin Yalta, 2012. "Should Economists Use Open Source Software for Doing Research?," Hacettepe University Department of Economics Working Papers 20127, Hacettepe University, Department of Economics.
- DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
- repec:jss:jstsof:11:i10 is not listed on IDEAS
- Aboura, Sofiane & Chevallier, Julien, 2013.
"Leverage vs. feedback: Which Effect drives the oil market?,"
Finance Research Letters, Elsevier, vol. 10(3), pages 131-141.
- Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
- Julien Chevallier & Sofiane Aboura, 2013. "Leverage vs. Feedback: Which Effect Drives the Oil Market ?," Post-Print hal-01531283, HAL.
- Kholodilin Konstantin Arkadievich & Siliverstovs Boriss, 2006.
"On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(3), pages 234-259, June.
- Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
- Yalta, A. Talha & Jenal, Olaf, 2009.
"On the importance of verifying forecasting results,"
International Journal of Forecasting, Elsevier, vol. 25(1), pages 62-73.
- A. Talha Yalta & Olaf Jenal, 2008. "On the Importance of Verifying Forecasting Results," Working Papers 0804, TOBB University of Economics and Technology, Department of Economics.
- Fabio Clementi & Marco Gallegati & Mauro Gallegati, 2015. "Growth and Cycles of the Italian Economy Since 1861: The New Evidence," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(1), pages 25-59, March.
- repec:bla:germec:v:11:y:2010:i::p:404-417 is not listed on IDEAS
- Han Lin Shang & Jiguo Cao & Peijun Sang, 2022. "Stopping time detection of wood panel compression: A functional time‐series approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1205-1224, November.
- Greyling, Jan & Pardey, Philip G. & Senay, Senait, 2023. "Distortionary Agricultural Policies: Their Productivity, Location and Climate Variability Implications for South Africa During the 20th Century," Staff Papers 330158, University of Minnesota, Department of Applied Economics.
- Ross Sparks & Tim Keighley & David Muscatello, 2010. "Early warning CUSUM plans for surveillance of negative binomial daily disease counts," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(11), pages 1911-1929.
- Castelnuovo, Efrem, 2010.
"Tracking U.S. inflation expectations with domestic and global indicators,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1340-1356, November.
- Efrem Castelnuovo, 2006. "Tracking U.S. Inflation Expectations with Domestic and Global Indicators," "Marco Fanno" Working Papers 0031, Dipartimento di Scienze Economiche "Marco Fanno".
- Lindmark, Magnus & Acar, Sevil, 2013. "Sustainability in the making? A historical estimate of Swedish sustainable and unsustainable development 1850–2000," Ecological Economics, Elsevier, vol. 86(C), pages 176-187.
- González Andrés & Teräsvirta Timo, 2008.
"Modelling Autoregressive Processes with a Shifting Mean,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-28, March.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," Borradores de Economia 420, Banco de la Republica de Colombia.
- Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," Borradores de Economia 3230, Banco de la Republica.
- González, Andrés & Teräsvirta, Timo, 2006. "Modelling autoregressive processes with a shifting mean," SSE/EFI Working Paper Series in Economics and Finance 637, Stockholm School of Economics, revised 22 May 2007.
- Yalta, A. Talha, 2007.
"The Numerical Reliability of GAUSS 8.0,"
The American Statistician, American Statistical Association, vol. 61, pages 262-268, August.
- A. Talha Yalta, 2010. "The Numerical Reliability of GAUSS 8.0," Working Papers 1004, TOBB University of Economics and Technology, Department of Economics.
- Baumöhl, Eduard & Výrost, Tomáš & Lyócsa, Štefan, 2011. "Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework," MPRA Paper 30334, University Library of Munich, Germany.
- Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), 2009. "Econometrics with gretl. Proceedings of the gretl Conference 2009," UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, edition 1, number 01, June.
- Richard G. Anderson & William H. Greene & Bruce D. McCullough & Hrishikesh D. Vinod, 2005. "The role of data & program code archives in the future of economic research," Working Papers 2005-014, Federal Reserve Bank of St. Louis.
- Gawon Yoon, 2009. "Corrigendum to “Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(5), pages 1031-1032, August.
- Yoon, Gawon, 2009. "Is high real interest rate persistence an intrinsic characteristic of industrialized economies?," Economic Modelling, Elsevier, vol. 26(2), pages 359-363, March.
- A. Talha Yalta & A. Yasemin Yalta, 2009. "Wilkinson Tests and gretl," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 16, pages 243-251, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:v:011:i10. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.jstatsoft.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.