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Design-free estimation of variance matrices
| File | Description | Size | Format | |
|---|---|---|---|---|
 VarianceMatrixEstim15.pdf | Accepted version | 394.64 kB | Adobe PDF | View/Open |
| Title: | Design-free estimation of variance matrices |
| Authors: | Abadir, KM Distaso, W Žikeš, F |
| Item Type: | Journal Article |
| Issue Date: | 15-Apr-2014 |
| Date of Acceptance: | 27-Mar-2014 |
| URI: | http://hdl.handle.net/10044/1/26856 |
| DOI: | https://dx.doi.org/10.1016/j.jeconom.2014.03.010 |
| ISSN: | 1872-6895 |
| Publisher: | Elsevier |
| Start Page: | 165 |
| End Page: | 180 |
| Journal / Book Title: | Journal of Econometrics |
| Volume: | 181 |
| Issue: | 2 |
| Copyright Statement: | © 2014, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Keywords: | Variance matrices Ill-conditioning Mean squared error Mean absolute deviations Resampling U-statistics |
| Appears in Collections: | Imperial College Business School Centre for Environmental Policy Faculty of Natural Sciences |