The performance of robust heteroscedasticity consistent covariance matrix estimator

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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...

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Bibliographic Details
Main Authors:	Sani, Muhammad, Midi, Habshah, Arasan, Jayanthi
Format:	Article
Language:	English
Published:	Universiti Putra Malaysia Press 2019
Online Access:	http://psasir.upm.edu.my/id/eprint/70697/ http://psasir.upm.edu.my/id/eprint/70697/1/7.pdf

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