A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators

DOI10.1081/STA-120023261zbMath1158.62326MaRDI QIDQ4420245

Nila M. S. Galvão, Francisco Cribari-Neto

Publication date: 14 August 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

Linear regressionBias correctionHeteroskedasticityCovariance matrix estimationWhite's estimator

Mathematics Subject Classification ID

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

Related Items

Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator, Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators, Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap, A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model, Heteroskedasticity-consistent interval estimators

Uses Software

• Ox

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Improved heteroscedasticity-consistent covariance matrix estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Linear Statistical Inference and its Applications