Vol. 21, No. 1, ET 20th Anniversary Colloquium: Automated Inference and the Future of Econometrics (Feb., 2005), pp. 158-170 (13 pages) This paper proposes a new class of heteroskedastic and ...
The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...
This is a preview. Log in through your library . Abstract In this paper we consider estimating the rank of an unknown symmetric matrix based on a symmetric, asymptotically normal estimator of the ...
The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...
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