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Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue

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  • Emmanuel Flachaire

Abstract

In this paper, I investigate the finite sample performance of a test robust to heteroskedasticity of unknown form, based on the consistent covariance matrix estimator proposed in Eicker (1963) and White (1980). The simulation results suggest that, as often used in practice, this test could be unreliable and inefficient, even if the sample size is large. They suggest that reliable and more efficient inference can be obtained if a heteroskedasticity-robust test is computed with the restricted residuals and an appropriate bootstrap method.

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  • Emmanuel Flachaire, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Annals of Economics and Statistics, GENES, issue 77, pages 187-199.
    • Handle: RePEc:adr:anecst:y:2005:i:77:p:187-199
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    1. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
    2. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
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    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    8. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, University Library of Munich, Germany, revised 05 Mar 1996.
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