Publications
Publications
- Journal of Financial and Quantitative Analysis
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; Mathematical Methods; Economics
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.)