Asymptotic Theory of Least Squares

Paul Schrimpf

2024-10-21

Reading

• Required: Song (2021) chapter 10

\[ \def\Er{{\mathrm{E}}} \def\En{{\mathbb{En}}} \def\cov{{\mathrm{Cov}}} \def\var{{\mathrm{Var}}} \def\R{{\mathbb{R}}} \newcommand\norm[1]{\left\lVert#1\right\rVert} \def\rank{{\mathrm{rank}}} \newcommand{\inpr}{ \overset{p^*_{\scriptscriptstyle n}}{\longrightarrow}} \def\inprob{{\,{\buildrel p \over \rightarrow}\,}} \def\indist{\,{\buildrel d \over \rightarrow}\,} \DeclareMathOperator*{\plim}{plim} \]

Least Squares

\[ \overbrace{y}^{n \times 1} = \overbrace{X}^{n \times k} \underbrace{\beta}_{k \times 1} + \overbrace{\epsilon}^{n \times 1} \]

• \(\hat{\beta} = (X'X)^{-1} X' y\)

Consistency

\[ \begin{align*} \hat{\beta} = & (X'X)^{-1} X' y \\ = & (X'X)^{-1} X' (X \beta + \epsilon) \\ = & \beta + (X'X)^{-1} X' \epsilon \end{align*} \]

Consistent, \(\hat{\beta} \inprob \beta\), if

• \((X'X)^{-1} X' \epsilon \inprob 0\) (“high level assumption”), or
• \(\frac{1}{n} X'X \inprob C\) and \(\frac{1}{n} X' \epsilon \inprob 0\), or

Consistency

\[ \begin{align*} \hat{\beta} = & (X'X)^{-1} X' y \\ = & (X'X)^{-1} X' (X \beta + \epsilon) \\ = & \beta + (X'X)^{-1} X' \epsilon \end{align*} \]

Consistent, \(\hat{\beta} \inprob \beta\), if

• Using non-iid WLLN from convergence in distribution slides (“low level assumption”):
  • For both \(Z_i = X_i'\) and \(Z_i = \epsilon_i\),
    • \(\Er\left[\left((X_i Z_i) - \Er[X_i Z_i'] \right) \left((X_j Z_j) - \Er[X_j Z_j]\right)' 1\{\right] = 0\) for \(i \neq j\) and
    • \(\frac{1}{n} \max_{1 \leq i \leq n} \Er[ (X_i Z_i - \Er[X_i Z_i]) (X_i Z_i - \Er[X_i Z_i])'] \to 0\)
  • \(\Er[X_i \epsilon_i] = 0\) for all \(i\)
  • \(\lim_{n \to \infty} \frac{1}{n} \sum_{i=1}^n \Er[X_i X_i'] = C\) is invertible

Asymptotic Distribution

\[ \begin{align*} \sqrt{n}(\hat{\beta} - \beta) = & \sqrt{n} (X'X)^{-1} (X' \epsilon) \\ = & (\frac{1}{n} X'X)^{-1} \frac{1}{\sqrt{n}} X' \epsilon \end{align*} \]

\(\sqrt{n}(\hat{\beta} - \beta) \indist N(0, \Sigma)\) if:

• \(\frac{1}{n} X'X \inprob C\) nonsingular, and \(\frac{1}{\sqrt{n}} X' \epsilon \indist N(0,V)\), or
• Using i.i.d. CLT and WLLN:
  • \((X_i, \epsilon_i)\) i.i.d.
  • \(\Er[X_i X_i' ]\) is nonsingular, \(\Er[X_i \epsilon_i] = 0\), and \(\var(X_i \epsilon_i) = \Omega > 0\)
  • Exercise: what is \(\Sigma\) under these assumptions?

Asymptotic Distribution

\[ \begin{align*} \sqrt{n}(\hat{\beta} - \beta) = & \sqrt{n} (X'X)^{-1} (X' \epsilon) \\ = & (\frac{1}{n} X'X)^{-1} \frac{1}{\sqrt{n}} X' \epsilon \end{align*} \]

\(\sqrt{n}(\hat{\beta} - \beta) \indist N(0, \Sigma)\) if:

• Using Lindeberg’s CLT and non-iid WLLN:
  • \((X_i, \epsilon_i) \perp (X_j, \epsilon_j)\) if \(i \neq j\), and
  • \(\frac{1}{n} \max_{1 \leq i \leq n} \Er[ (X_i X_i' - \Er[X_i X_i']) (X_i X_i' - \Er[X_i X_i])'] \to 0\), and
  • \(\frac{1}{n} \sum_{i=1}^n \Er[X_i \epsilon_i^2 X_i'] = \Omega_n\) is non singular, and \(\Omega_n \to \Omega\), and
  • \(\lim_{n \to \infty} \frac{1}{n} \sum_{i=1}^n \Er\left[ c'( X_i \epsilon_i^2 X_i') c 1\{ | c'( X_i \epsilon_i)| > \delta \sqrt{n} \} \right] = 0\) for all \(\delta > 0\) and \(c \in \R^k\)
  • Exercise: what is \(\Sigma\) under these assumptions?

Estimated Variance

• Knowing \(\sqrt{n}(\hat{\beta} - \beta) \indist N(0, \Sigma)\) isn’t useful, unless we know or can estimate \(\Sigma\)

Lemma

If \(\hat{\Sigma} \inprob \Sigma\), \(\Sigma\) is nonsingular, and \(\sqrt{n}(\hat{\beta} - \beta) \indist N(0, \Sigma)\), then \[ \sqrt{n}(\hat{\beta} - \beta)\hat{\Sigma}^{-1/2} \indist N(0, I) \]

Non-Spherical Errors

Heteroskedasticity

• With i.i.d. data, \[ \sqrt{n}(\hat{\beta} - \beta) \indist N(0, \overbrace{\Er[X_i X_i']^{-1} \var(X_i \epsilon_i) \Er[X_i X_i']^{-1}}^{\Sigma} ) \]
• \(Var(X_i \epsilon_i) = \Er[\epsilon_i^2 X_i X_i'] = \Er[\Er[\epsilon_i^2 |X_i] X_i X_i']\)

Definition

\(\epsilon\) is homoskedastic if \(\Er[\epsilon_i^2 | X_i] = \sigma^2\), otherwise \(\epsilon\) is heteroskedastic.

Heteroskedasticity

• With homoskedasticity, \(\Sigma = \Er[X_i X_i']^{-1} \sigma^2\)

• With heteroskedasticity, \(\Sigma = \Er[X_i X_i']^{-1} \var(X_i \epsilon_i) \Er[X_i X_i']^{-1}\) and can be (with appropriate assumptions) consistently estimated by \[ \hat{\Sigma}^{robust} = (\frac{1}{n} X ' X)^{-1} \left(\frac{1}{n} \sum_{i=1}^n X_i X_i' \epsilon_i^2 \right) (\frac{1}{n} X'X)^{-1} \]

• Even with homoskedasticity, there is little downside to using \(\hat{\Sigma}^{robust}\), so always used in practice

Heteroskedastic Robust Errors with Homoskedastic Data

using Statistics, LinearAlgebra

function sim(n,k; β=ones(k), σ = x->1)
  X = randn(n,k)
  ϵ = randn(n).*mapslices(σ, X, dims=[2])
  y = X*β + ϵ
  return(X,y)
end

function ols(X,y)
  XXfactored = cholesky(X'*X)
  β̂ = XXfactored \ X'*y
  Vr, Vh = olsvar(X, y - X*β̂, XXfactored)
  return(β̂, Vr, Vh)
end

function olsvar(X, ϵ, XXf)
  n, k = size(X)
  iXX = inv(XXf)
  @views @inbounds Vr = n/(n-k)*iXX*sum(X[i,:]*X[i,:]'*ϵ[i]^2 for i ∈ axes(X)[1])*iXX
  Vh = n/(n-k)*iXX*var(ϵ)
  return(Vr,Vh)
end

olsvar (generic function with 1 method)

Heteroskedastic Robust Errors with Homoskedastic Data

using PlotlyLight, Distributions, Cobweb
function simsize(n,k,S; β=ones(k), σ=x->1)
  z = zeros(S,2)
  for s ∈ 1:S
    X,y = sim(n,k,β=β,σ=σ)
    β̂, Vr, Vh = ols(X,y)
    z[s,1] = (β̂[1] - β[1])/sqrt(Vr[1,1])
    z[s,2] = (β̂[1] - β[1])/sqrt(Vh[1,1])
  end
  p = cdf.(Normal(),z)
  return(p, z)
end
function makeplot(p,z,n;   u = range(0,1,length=100))
  plt = Plot()
  plt.layout = Config()
  plt.layout.title="N=$n"
  plt.layout.yaxis.title.text="x - P(asymptotic p-value < x)"
  plt.layout.xaxis.title.text="x"
  plt(x=u, y=(u .- (x->mean(p[:,1].<=x)).(u)), name="Heteroskedasticity Robust")
  plt(x=u, y=(u .- (x->mean(p[:,2].<=x)).(u)), name="Homoskedasticity")
  return(plt())
end
N = [100, 500, 2500, 10_000]
k = 2
for n ∈ N
  if !isfile("size_$n.html")
    fig = makeplot(simsize(n,k,10_000)...,n)
    PlotlyLight.save(fig, "size_$n.html")
  end
end

Heteroskedastic Robust Errors with Homoskedastic Data

Heteroskedastic Robust Errors with Homoskedastic Data

Heteroskedastic Robust Errors with Homoskedastic Data

Plot of Residuals vs Predictions

n = 250
k = 3
Xh,yh = sim(n,k)
bh, _, _ = ols(Xh,yh)
eh = yh - Xh*bh
X,y = sim(n,k, σ=x->(0.1 + norm(x'*ones(k) .+ 3)/3))
b, _, _ = ols(X,y)
e = y - X*b

plt = Plot()
plt.layout = Config()
plt(x = vec(Xh*bh), y=vec(eh), name="Homoskedastic", mode="markers", type="scatter")
fig =plt(x = vec(X*b), y = vec(e), name="Heteroskedastic", mode="markers")
PlotlyLight.save(fig, "resid.html")
HTML("<iframe src=\"resid.html\" width=\"1000\"  height=\"650\"></iframe>\n")

Heteroskedastic Robust Errors with Heteroskedastic Data

N = [100, 500, 2500, 10_000]
k = 2
for n ∈ N
  if !isfile("size_het_$n.html")
    fig = makeplot(simsize(n,k,10_000, σ=x->(0.1 + norm(x'*ones(k) .+ 3)/3))...,n)
    PlotlyLight.save(fig, "size_het_$n.html")
  end
end

Heteroskedastic Robust Errors with Heteroskedastic Data

Heteroskedastic Robust Errors with Heteroskedastic Data

Heteroskedastic Robust Errors with Heteroskedastic Data

Dependence

• \(\sqrt{n} (\hat{\beta} - \beta) \indist N(0, \Er[X_iX_i']^{-1} V \Er[X_i X_i']^{-1})\) if \(\frac{1}{n} X'X \inprob \Er[X_iX_i']\) and \(\frac{1}{n} X'\epsilon \indist N(0,V)\)
• Generally, \(V = \lim_{n \to \infty} \var\left( \frac{1}{n} X'\epsilon \right)\) \[ \var\left( \frac{1}{n} X'\epsilon \right) = \frac{1}{n^2} \sum_{i=1}^n \sum_{j=1}^n \cov(X_i \epsilon_i, X_j \epsilon_j) \]
• \(n(n-1)/2\) different \(\cov(X_i \epsilon_i, X_j \epsilon_j)\), so need some restriction

Clustered Standard Errors

• Partition data into \(G\) groups, \(\{g_h\}_{h=1}^G\), denote group of \(i\) as \(g(i)\)
• Assume \(\cov(X_i \epsilon_i, X_j \epsilon_j) = 0\) if \(g(i) \neq g(j)\), and \(\Er[X_i \epsilon_i] = 0\)

\[ \begin{aligned} \sum_{i=1}^n \sum_{j=1}^n \cov(X_i \epsilon_i, X_j \epsilon_j) = & \sum_{h=1}^G \sum_{i \in g_h} \sum_{j \in g_h} \cov(X_i \epsilon_i, X_j, \epsilon_j) \\ = & \sum_{h=1}^G \Er\left[\left(\sum_{i \in g_h} X_i \epsilon_i \right)^2 \right] \end{aligned} \]

Clustered Standard Errors

• Strengthening some assumptions to apply Lindeberg’s CLT to \(\left(\sum_{i \in g_h} X_i \epsilon_i \right)\) we get

\[ \frac{1}{\sqrt{G}} \left(\sum_{h = 1}^G \left(\sum_{i \in g_h} X_i \epsilon_i \right) \right) \left( \frac{1}{G} \sum_{h=1}^G \Er\left[\left(\sum_{i \in g_h} X_i \epsilon_i \right)^2 \right] \right)^{-1/2} \indist N(0, I) \]

• Thus,

\[ \sqrt{G} (\hat{\beta} - \beta) \indist N\left(0, \Er[X_i X_i']^{-1} \left(\lim_{G \to \infty} \frac{1}{G} \sum_{h=1}^G \Er\left[\left(\sum_{i \in g_h} X_i \epsilon_i \right)^2 \right] \right) \Er[X_i X_i']^{-1} \right) \]

Clustering

function olscl(X,y, group=group)
  XXfactored = cholesky(X'*X)
  β̂ = XXfactored \ X'*y
  V = olsclvar(X, y - X*β̂, XXfactored, group=group)
  return(β̂, V)
end

function olsclvar(X, ϵ, XXf; group=axes(X)[1])
  n, k = size(X)
  groups=unique(group)
  G = length(groups)
  iXX = inv(XXf)
  @views @inbounds Vr = G/(G-k)*iXX*
    sum(X[group.==g,:]'*ϵ[group.==g]*ϵ[group.==g]'*X[group.==g,:] for  g in groups)*iXX
  return(Vr)
end

function simcluster(n,k,G; β=ones(k), σ = x->1, ρ=0.7)
  X = randn(n,k)
  group = rand(1:G,n)
  for g ∈ 1:G # ensure all groups included
    if sum(group.==g)==0
      group[g]=g
    end
  end
  X[:,1] .+= (group.>(G/2))
  u = randn(G)
  ϵ = (ρ*u[group] + sqrt(1-ρ^2)*randn(n)).*mapslices(σ, X, dims=[2])
  y = X*β + ϵ
  return(X,y, group)
end

function simsizecluster(n,k,G,S; β=ones(k), σ=x->1, ρ=0.7)
  z = zeros(S,2)
  for s ∈ 1:S
    X,y,group = simcluster(n,k,G,β=β,σ=σ, ρ=ρ)
    β̂, Vcr = olscl(X,y, group)
    _, Vr, _ = ols(X,y)
    z[s,1] = (β̂[1] - β[1])/sqrt(Vcr[1,1])
    z[s,2] = (β̂[1] - β[1])/sqrt(Vr[1,1])
  end
  p = hcat(cdf.(Normal(),z), cdf.(TDist(G-k),z))
  return(p, z)
end

function makeplotcl(p,z,n,g; u = range(0,1,length=100))
  plt = Plot()
  plt.layout = Config()
  plt.layout.title="N=$n, G=$g"
  plt.layout.yaxis.title.text="x - P(asymptotic p-value < x)"
  plt.layout.xaxis.title.text="x"
  plt(x=u, y=(u .- (x->mean(p[:,1].<=x)).(u)), name="Clustered (Normal Distribution)")
  plt(x=u, y=(u .- (x->mean(p[:,2].<=x)).(u)), name="Heteroskedasticity Robust")
  plt(x=u, y=(u .- (x->mean(p[:,3].<=x)).(u)), name="Clustered (t-Distribution)")
  return(plt())
end

N = [200, 200, 5000, 5000]
G = [10, 100, 10, 100]
k = 2
for (n,g) ∈ zip(N,G)
  if !isfile("size_cluster_$(n)_$g.html")
    fig = makeplotcl(simsizecluster(n,k,g,10_000)...,n,g)
    PlotlyLight.save(fig, "size_cluster_$(n)_$g.html")
  end
end

Clustering

Clustering

Clustering

Clustering

Time Dependence

• References:
  • Mikusheva and Schrimpf (2007) lectures 2 and 3 and recitation 2
  • Dedecker et al. (2007) for comprehensive treatment

Time Dependence - LLN

• Recall simplest LLN proof via Markov’s inequality and showing \(\var\left(\frac{1}{n} \sum_{i=1}^n x_i\right) \to 0\)
• With dependence,

\[ \begin{align*} \var\left(\frac{1}{n} \sum_{i=1}^n x_i\right) = & \frac{1}{n^2} \sum_{i=1}^n \sum_{j=1}^n \cov(x_i,x_j) \\ & \text{assume covariance stationarity:} \cov(x_i, x_j) = \gamma_{|i-j|} \\ = & \frac{1}{n^2} \left(n \gamma_0 + 2(n-1) \gamma_1 + \cdots\right) \\ = & \frac{1}{n} \left[ \gamma_0 + 2 \sum_{k=1}^n \gamma_k \left(1 - \frac{k}{n} \right) \right] \end{align*} \]

if \(\sum_{j=-\infty}^{\infty} |\gamma_j| < \infty\), then \(\frac{1}{n} \left[ \gamma_0 + 2 \sum_{k=1}^n \gamma_k \left(1 - \frac{k}{n} \right) \right]\to 0\) and LLN holds

Time Dependence - CLT

• Long run variance: \[ \begin{align*} \frac{1}{\sqrt{n}} \var\left( \sum_{i=1}^n x_i\right) = & \gamma_0 + 2 \sum_{k=1}^n \gamma_k \left(1 - \frac{k}{n} \right) \\ \to & \gamma_0 + 2 \sum_{k=1}^\infty \gamma_k \equiv \mathcal{J} = \text{long-run variance} \end{align*} \]
• With appropriate assumptions if \(\Er[x_i] = 0\) and \(\mathcal{J} < \infty\), then \[ \frac{1}{\sqrt{n}} \sum_{i=1}^n x_i \indist N(0,\mathcal{J}) \]

Time Dependence - Gordin’s CLT

CLT

Assume \(\Er[y_t] = 0\). Let \(I_t\) be the sigma-algebra generated by \(\{y_j\}_{j=-\infty}^t\). Further assume:

1. \(y_t\) is strictly stationary: the distribution of \(y_{t_1}, ... , y_{t_k}\) equals the distribution of \(y_{t_1 + s} , ... y_{t_k+s}\) for all \(t_j\) and \(s\)

2. \(y_t\) is ergodic \(\lim_{s\to\infty} \cov(g(y_t,..., y_{t+k}), h(y_{t+k+s}, ..., y_{t+k+s+l})) = 0\) for all bounded \(g\), \(h\)

3. \(\sum_{j=1}^\infty \left(\Er\left[ (\Er[y_t|I_{t-j}] - \Er[y_t|I_{t-j-1}])^2\right] \right)^{1/2} < \infty\)

4. \(\Er[y_t | I_{t-j}] \to 0\) as \(j \to \infty\)

Then, \[ \frac{1}{\sqrt{T}} \sum_{t=1}^T y_t \indist N(0,\mathcal{J}) \]

• Many variations of assumptions possible, see e.g. Dedecker et al. (2007) for more

Time Dependence - OLS

• If LLN applies \(X'X\) and CLT to \(X \epsilon\), then \[ \sqrt{n} (\hat{\beta} - \beta) \indist N(0, M^{-1} \mathcal{J} M^{-1}) \] with \(M = \plim \frac{1}{n} X'X\) and \(\mathcal{J} = \var(X_i \epsilon_i) + 2\sum_{k=1}^\infty \cov(X_i \epsilon_i, X_{i+k} \epsilon_{i+k})\)
• Consistently estimate \(\mathcal{J}\) by (Newey and West (1987)) \[ \hat{\mathcal{J}} = \sum_{-S_n}^{S_n}k_n(j) \underbrace{\hat{\gamma}_j}_{=\frac{1}{n} \sum_{i=1}^{n-j} (X_i \hat{\epsilon}_i) (X_{i+j} \hat{\epsilon}_{i+j})'} \] with \(k_n(j) \to 1\), and \(S_n \to \infty\) and \(S_n^3/n \to 0\)

Testing Restrictions

\[ y = X\beta + \epsilon \]

• Test \(H_0: R \beta = r\) against \(H_1: R \beta \neq r\)

Wald

• If \(\sqrt{n}(\hat{\beta} - \beta_0) \indist N(0, V)\), then \[ \sqrt{n}(R \hat{\beta} - \underbrace{R\beta_0}_{=r} ) \indist N(0, RVR') \] and \[ W \equiv n(R \hat{\beta} - r )' (RVR')^{-1} (R \hat{\beta} - r ) \indist \chi^2_{rank(R)} \]

Restricted MLE

• Restricted MLE with \(\epsilon \sim N(0, \sigma^2 I_n)\) \[ \hat{\beta}_R = \mathrm{arg}\max_{b: Rb = r, \sigma} -\frac{n}{2}(\log 2\pi + \log \sigma^2) + \sum_{i=1}^n \frac{-1}{2\sigma^2} (y_i - X_i b)^2 \]
• FOC \[ \begin{align*} -X'y/\sigma^2 + X'X\hat{\beta}_R/\sigma^2 + R'\hat{\lambda} & = 0\\ R\hat{\beta}_R - r & = 0 \end{align*} \]

Lagrange Multiplier

• Under \(H_0\), \(\lambda = 0\), so form test statistic based on \(\hat{\lambda} \approx 0\)
• From FOC: \[ R'\hat{\lambda} = X'(y - X'\hat{\beta}_R)/\hat{\sigma}^2_R = X'\hat{\epsilon}_r/\hat{\sigma}^2_R \]
• To find distribution, note that \[ \begin{pmatrix} \hat{\beta}_R \\ \hat{\lambda}/2 \end{pmatrix} = \begin{pmatrix} X'X/\sigma^2 & R' \\ -R & 0 \end{pmatrix}^{-1} \begin{pmatrix} X'y/\sigma^2 \\ -r \end{pmatrix} \]

Lagrange Multiplier

• so (using partitioned inverse), \[ \hat{\lambda} = (R\hat{\sigma}_R^2 (X'X)^{-1} R')^{-1} (R \hat{\beta} - r) \] and \[ \hat{\beta}_R = \hat{\beta} - (X'X)^{-1}(R (X'X)^{-1} R)^{-1} (R \hat{\beta} - r) \]

Lagrange Multiplier

• Note that \[ \begin{align*} \hat{\lambda} & = (R\hat{\sigma}_R^2 (X'X)^{-1} R')^{-1} (R \hat{\beta} - r) \\ & = (R\hat{\sigma}_R^2 (X'X)^{-1} R')^{-1} (R (X'X)^{-1} X'\epsilon) \end{align*} \]

• so, with homoskedasticity, \[ LM = \hat{\lambda}'R \hat{\sigma}^2_R (X'X)^{-1} R' \hat{\lambda} \indist \chi^2_{rank(R)} \]

• Can modify for heteroskedasticity and/or dependence

Likelihood Ratio

• If \(\epsilon_i \sim N(0, \sigma^2)\), twice the log likelihood ratio for \(H_0: R\beta = r\), \[ \begin{align*} 2\max_{b,\sigma} & \left[-\frac{n}{2} \log \sigma^2 + \sum_{i=1}^n \frac{-1}{2\sigma^2} (y_i - X_i b)^2 \right] - \\ & - 2\max_{b,\sigma: Rb = r} \left[-\frac{n}{2} \log \sigma^2 + \sum_{i=1}^n \frac{-1}{2\sigma^2} (y_i - X_i b)^2 \right] = \\ = & -n\log \hat{\sigma}^2 + n \log\hat{\sigma}_R^2 \\ = & -n\log\left(\frac{1}{n} \norm{y-X\hat{\beta}}^2\right) + n \log \left(\frac{1}{n}\norm{y - X \hat{\beta}_R}^2 \right) \\ = & n \log \left(\frac{\frac{1}{n}\norm{y-X\hat{\beta}}^2 + \frac{1}{n}(\hat{\beta}_R-\hat{\beta}) X'X (\hat{\beta}_R-\hat{\beta})}{\frac{1}{n}\norm{y-X\hat{\beta}}^2}\right) \\ = & n \log (1 + W/n) \indist \chi^2_{rank(R)} (\text{with homoskedasticity}) \end{align*} \]

References

Dedecker, Jérôme, Paul Doukhan, Gabriel Lang, León R José Rafael, Sana Louhichi, and Clémentine Prieur. 2007. “Weak Dependence.” In Weak Dependence: With Examples and Applications, 9–20. Springer. https://link.springer.com/book/10.1007/978-0-387-69952-3.

Mikusheva, Anna, and Paul Schrimpf. 2007. “14.384 Time Series Analysis, Fall 2007 (Revised 2009).” http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-fall-2013/lecture-notes/.

Newey, Whitney K, and Kenneth D West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–8.

Song, Kyunchul. 2021. “Introduction to Econometrics.”