Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators

DOI10.1080/00949650108812114zbMath1137.62340OpenAlexW2077497053MaRDI QIDQ2780871

Lianfen Qian, Suojin Wang

Publication date: 14 March 2002

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650108812114

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Related Items (5)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form ⋮ Approximate inference in heteroskedastic regressions: A numerical evaluation ⋮ New heteroskedasticity-robust standard errors for the linear regression model ⋮ A sequence of improved standard errors under heteroskedasticity of unknown form

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Adapting for heteroscedasticity in linear models
• Robust estimation in heteroscedastic linear models
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Least Squares Estimation when the Covariance Matrix and Parameter Vector are Functionally Related
• Jackknifing in Unbalanced Situations
• A Robust Heteroskedasticity Consistent Covariance Matrix Estimator
• Second order approximation in a linear regression with heteroskedasticity of unknown form

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