Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

DOI10.1080/00949650410001729427zbMath1075.62046OpenAlexW2036131412WikidataQ57496568 ScholiaQ57496568MaRDI QIDQ5697315

Waldemar A. S. C. Oliveira, Silvia L. P. Ferrari, Francisco Cribari-Neto

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/00949650410001729427

zbMATH Keywords

numerical integrationbias correctionheteroskedasticitycovariance matrix estimationleverage pointsquasi-\(t\) test

Mathematics Subject Classification ID

Related Items (5)

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 ⋮ Testing inference in heteroskedastic fixed effects models ⋮ Heteroskedasticity-consistent interval estimators ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

Uses Software

• Ox

Cites Work

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• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables

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