Grocer Function
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