Robust heteroskedasticity-robust tests

DOI10.1016/J.ECONLET.2017.07.008zbMath1401.62112OpenAlexW2735841691MaRDI QIDQ1782379

Patrick Richard

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.07.008

zbMATH Keywords

wild bootstraprobust inferenceheteroskedasticity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (2)

Residual bootstrap tests in linear models with many regressors ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?

Cites Work

• The wild bootstrap, tamed at last
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• Resurrecting weighted least squares
• Higher order properties of the wild bootstrap under misspecification
• Heteroskedasticity-robust inference in finite samples
• Approximate Power Functions for Some Robust Tests of Regression Coefficients
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Heteroskedasticity–robust tests with minimum size distortion

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