Consistent covariance matrix estimation in probit models with autocorrelated errors - Info and Reading Options
By Arturo Estrella
"Consistent covariance matrix estimation in probit models with autocorrelated errors" was published by Federal Reserve Bank of New York in 1998 - [New York, N.Y.] and the language of the book is English.
“Consistent covariance matrix estimation in probit models with autocorrelated errors” Metadata:
- Title: ➤ Consistent covariance matrix estimation in probit models with autocorrelated errors
- Author: Arturo Estrella
- Language: English
- Publisher: ➤ Federal Reserve Bank of New York
- Publish Date: 1998
- Publish Location: [New York, N.Y.]
“Consistent covariance matrix estimation in probit models with autocorrelated errors” Subjects and Themes:
- Subjects: Probits - Analysis of covariance - Autocorrelation (Statistics)
Edition Specifications:
- Format: Electronic resource
Edition Identifiers:
- The Open Library ID: OL3476897M - OL2464108W
- Library of Congress Control Number (LCCN): 2005616469
AI-generated Review of “Consistent covariance matrix estimation in probit models with autocorrelated errors”:
"Consistent covariance matrix estimation in probit models with autocorrelated errors" Description:
The Open Library:
"Some recent time-series applications use probit models to measure the forecasting power of a set of variables. Correct inferences about the significance of the variables requires a consistent estimator of the covariance matrix of the estimated model coefficients. A potential source of inconsistency in maximum likelihood standard errors is serial correlation in the underlying disturbances, which may arise, for example, from overlapping forecasts. We discuss several practical methods for constructing probit autocorrelation-consistent standard errors, drawing on the generalized method of moments techniques of Hansen (1982), Newey-West (1987) and others, and we provide simulation evidence that these methods can work well"--Federal Reserve Bank of New York web site.
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