A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity

DOI10.1080/00949655.2016.1198906zbMath1492.62096OpenAlexW2474338070MaRDI QIDQ5106770

Guannan Wang, Nahui Zhang, Shunyong Li, Xiao-Qin Zhang

Publication date: 22 April 2020

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

Full work available at URL: https://doi.org/10.1080/00949655.2016.1198906

zbMATH Keywords

heteroskedasticityhigh leverage pointsquasi-\(t\) testcovariance matrix estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric robustness (62G35) Linear regression; mixed models (62J05) Nonparametric estimation (62G05)

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Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• A sequence of improved standard errors under heteroskedasticity of unknown form
• New heteroskedasticity-robust standard errors for the linear regression model
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Inference under Heteroscedasticity of Unknown Form Using an Adaptive Estimator
• Heteroskedasticity-consistent interval estimators
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Heteroskedasticity-Robust Inference in Linear Regressions
• Inference Under Heteroskedasticity and Leveraged Data

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