The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
From MaRDI portal
Publication:3773090
DOI10.2307/1911269zbMath0634.62051OpenAlexW1966262817MaRDI QIDQ3773090
Publication date: 1987
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911269
Related Items (44)
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates ⋮ Stochastic specification in random production models of cost-minimizing firms ⋮ Efficient Estimation and Robust Inference of Linear Regression Models in the Presence of Heteroscedastic Errors and High Leverage Points ⋮ A Dirichlet process functional approach to heteroscedastic-consistent covariance estimation ⋮ Heteroskedasticity-Robust Inference in Linear Regressions ⋮ Inference in Linear Regression Models with Many Covariates and Heteroscedasticity ⋮ Leverage-adjusted heteroskedastic bootstrap methods ⋮ Ridge estimation in linear models with heteroskedastic errors ⋮ Alternative HAC covariance matrix estimators with improved finite sample properties ⋮ The moving blocks bootstrap and robust inference for linear least squares and quantile regressions ⋮ Misspecified skedastic functions in grouped-data models ⋮ Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches ⋮ Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ⋮ Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form ⋮ Approximate inference in heteroskedastic regressions: A numerical evaluation ⋮ Bootstrapping heteroskedasticity consistent covariance matrix estimator ⋮ Second order approximation in a linear regression with heteroskedasticity of unknown form ⋮ New heteroskedasticity-robust standard errors for the linear regression model ⋮ Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators ⋮ Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap ⋮ Resurrecting weighted least squares ⋮ A Robust Heteroskedasticity Consistent Covariance Matrix Estimator ⋮ Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap∗ ⋮ Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap ⋮ Higher order properties of the wild bootstrap under misspecification ⋮ A new approach to bootstrap inference in functional coefficient models ⋮ On simultaneously identifying outliers and heteroscedasticity without specific form ⋮ The wild bootstrap, tamed at last ⋮ On improving the robustness and reliability of Rao's score test ⋮ Asymptotic inference under heteroskedasticity of unknown form ⋮ A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model ⋮ On inference in the presence of heteroskedasticity without replicated observations ⋮ Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators ⋮ A sequence of improved standard errors under heteroskedasticity of unknown form ⋮ A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? ⋮ The Wild Bootstrap for Multilevel Models ⋮ More Efficient Tests Robust to Heteroskedasticity of Unknown Form ⋮ Heteroskedasticity-consistent interval estimators ⋮ Standard Errors for Nonparametric Regression ⋮ Inference Under Heteroskedasticity and Leveraged Data ⋮ On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators ⋮ Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
This page was built for publication: The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator