A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

DOI10.1080/02331889708802610zbMath0915.62018OpenAlexW2062914304MaRDI QIDQ4375875

Marilena Furno

Publication date: 30 June 1999

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802610

zbMATH Keywords

outliersrobust estimatorsheteroskedasticitycovariance matrix estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers ⋮ Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator ⋮ On simultaneously identifying outliers and heteroscedasticity without specific form ⋮ Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Robust estimation in heteroscedastic linear models
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Jackknifing in Unbalanced Situations

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