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Asymptotic inference under heteroskedasticity of unknown form

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  • Cribari-Neto, Francisco
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    File URL: http://www.sciencedirect.com/science/article/B6V8V-47P1HJ4-1/2/a1257f7d505fc40e87623baa6f9dd8b1
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 45 (2004)
    Issue (Month): 2 (March)
    Pages: 215-233

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    Handle: RePEc:eee:csdana:v:45:y:2004:i:2:p:215-233

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    Web page: http://www.elsevier.com/locate/csda

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    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    2. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
    3. MacKinnon, James G, 1999. "The Linux Operating System: Debian GNU/Linux," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 443-52, July-Aug..
    4. Cribari-Neto, Francisco, 1999. "C for Econometricians," Computational Economics, Society for Computational Economics, vol. 14(1-2), pages 135-49, October.
    5. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
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    Cited by:
    1. José Curto & José Pinto & Ana Morais & Isabel Lourenço, 2011. "The heteroskedasticity-consistent covariance estimator in accounting," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 427-449, November.
    2. Benoît Le Maux & Federica Minardy & Charlotte Magalhaes, 2011. "Determinants of Electoral Outcomes: A simple Test of Meltzer and Richard's Hypothesis," Economics Working Paper from Condorcet Center for political Economy at CREM-CNRS 2011-03-ccr, Condorcet Center for political Economy.
    3. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
    4. Francisco Cribari-Neto & Wilton Silva, 2011. "A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 129-146, June.
    5. Achim Zeileis, . "Object-oriented Computation of Sandwich Estimators," Journal of Statistical Software, American Statistical Association, vol. 16(i09).
    6. Yves Croissant & Giovanni Millo, . "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, American Statistical Association, vol. 27(i02).
    7. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
    8. James G. MacKinnon, 2012. "Thirty Years of Heteroskedasticity-Robust Inference," Working Papers 1268, Queen's University, Department of Economics.
    9. Wen, Miin-Jye & Chen, Shun-Yi & Chen, Hubert J., 2007. "On testing a subset of regression parameters under heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5958-5976, August.
    10. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    11. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
    12. Francisco Cribari-Neto & Maria Lima, 2010. "Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(6), pages 1053-1082, December.
    13. Dale Poirier, 2008. "Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap," Working Papers 080905, University of California-Irvine, Department of Economics.
    14. Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University, revised Dec 2012.

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