Name

mcov — White's X'WX

CALLING SEQUENCE

[xuux]=mcov(x,u)

PARAMETERS

Input

• x = nobs x nvar explanatory variables matrix

• u = nobs x 1 residuals

Output

• xuux such that xpx-inverse*xuux*xpx-inverse represents a heteroscedasticity consistent variance-covariance matrix

DESCRIPTION

Computes x'*u*u'*x. References: H. White 1980, Econometrica Vol. 48 pp. 818-838.

EXAMPLE

xuux = mcov(x,resid);
 
// Example taken from hwhite. Should not have many other uses. 

               

AUTHOR

Eric Dubois 2002