Heteroskedasticity-consistent interval estimators

DOI10.1080/00949650801935327zbMath1186.62095OpenAlexW2139939583MaRDI QIDQ3638591

Maria da Glória A. Lima, Francisco Cribari-Neto

Publication date: 27 October 2009

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

Full work available at URL: https://doi.org/10.1080/00949650801935327

zbMATH Keywords

bootstrapconfidence intervalslinear regressionleverage pointheteroskedasticitycovariance matrix estimation

Mathematics Subject Classification ID

Related Items (10)

Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator ⋮ Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ Addressing the distributed lag models with heteroscedastic errors ⋮ Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches ⋮ Approximate inference in heteroskedastic regressions: A numerical evaluation ⋮ A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model ⋮ Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? ⋮ A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Uses Software

• Ox

Cites Work

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