AUTOCORRELATION-CONSISTENT AND HETEROSKEDASTICITY-CONSISTENT T-VALUESWITH TRENDING DATA

Authors
KRAMER W MICHELS S
Citation
W. Kramer et S. Michels, AUTOCORRELATION-CONSISTENT AND HETEROSKEDASTICITY-CONSISTENT T-VALUESWITH TRENDING DATA, Journal of econometrics, 76(1-2), 1997, pp. 141-147
Citations number
13
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
76
Issue
1-2
Year of publication
1997
Pages
141 - 147
Database
ISI
SICI code
0304-4076(1997)76:1-2<141:AAHT>2.0.ZU;2-L
Abstract
This note extends autocorrelation- and heteroskedasticity-consistent t -values to linear regression models with trending regressors.