Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 62 (2010)
Issue (Month): 6 (December)
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Web page: http://www.springerlink.com/link.asp?id=102845
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- James G. MacKinnon & Anthony A. Smith, Jr., .
"Approximate Bias Correction in Econometrics,"
GSIA Working Papers
1997-36, Carnegie Mellon University, Tepper School of Business.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
- repec:hal:cesptp:halshs-00175910 is not listed on IDEAS
- James G. MacKinnon & Halbert White, 1983.
"Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties,"
537, Queen's University, Department of Economics.
- 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.
- Flachaire, Emmanuel, 2005.
"Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap,"
Computational Statistics & Data Analysis,
Elsevier, vol. 49(2), pages 361-376, April.
- F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 211-228.
- Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 1998. "On bootstrap and analytical bias corrections," Economics Letters, Elsevier, vol. 58(1), pages 7-15, January.
- Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
- James G. MacKinnon, 2012. "Thirty Years of Heteroskedasticity-Robust Inference," Working Papers 1268, Queen's University, Department of Economics.
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