<< lad Single equation regressions nls >>

Grocer >> Single equation regressions > mcov

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

Report an issue
<< lad Single equation regressions nls >>