Bootstrapping heteroskedasticity consistent covariance matrix estimator

DOI10.1007/s001800200122zbMath1037.62023OpenAlexW1515304578MaRDI QIDQ1424616

Emmanuel Flachaire

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001800200122

zbMATH Keywords

covariance matrixwild bootstrapheteroskedasticity

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (5)

Nonparametric estimation of mean-squared prediction error in nested-error regression models ⋮ Testing the suitability of polynomial models in errors-in-variables problems ⋮ A simple test for regression specification with non-nested alternatives ⋮ More Efficient Tests Robust to Heteroskedasticity of Unknown Form ⋮ The Behrens-Fisher problem with covariates and baseline adjustments

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Tests for model specification in the presence of alternative hypotheses
• Bootstrap procedures under some non-i.i.d. models
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Unnamed Item

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