More Efficient Tests Robust to Heteroskedasticity of Unknown Form

DOI10.1081/ETC-200067942zbMath1115.62316MaRDI QIDQ5466758

Emmanuel Flachaire

Publication date: 25 August 2005

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

wild bootstrapregression modelheteroskedasticity-robust test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ 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 ⋮ How Reliable are Bootstrap-based Heteroskedasticity Robust Tests? ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Tests for model specification in the presence of alternative hypotheses
• A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping regression models
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Jackknife, bootstrap and other resampling methods in regression analysis
• Two-step two-stage least squares estimation in models with rational expectations
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients
• A better way to bootstrap pairs.
• More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap tests: how many bootstraps?

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