We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000) to constructing robust M tests without consistent estimation of the asymptotic covariance matrix. We demonstrate that, when model ...
This is a preview. Log in through your library . Abstract The self-consistent field theory of a previous paper (McWeeny 1956a) is generalized so as to apply to a system in which some orbitals are ...
Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no.
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