Article | Journal of Financial and Quantitative Analysis | September, 1989

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

by K. A. Froot

Keywords: econometrics; Panel estimation; Autocorrelation; Heteroskedasticity;

Citation:

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. 3 (September, 1989): 333–355. (Revised from NBER Technical Working Paper No. 62.)