References/Notes/Attributions:
Source
MacKinnon, J. G. and H. T. White (1985) “Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties”, Journal of Econometrics, 29, 305-325.
References
Davidson, R. and James G. MacKinnon (2004) Econometric Theory and Methods, New York, Oxford University Press, chapter 5.
See Also
Index.Source, Index.Economics, Index.Econometrics,
Index.Observations, Index.Time.Series