Design-free estimation of variance matrices

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Title: Design-free estimation of variance matrices
Author(s): Abadir, KM
Distaso, W
Žikeš, F
Item Type: Journal Article
Publication 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



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