Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
AbstractThis article provides Bayesian interpretations for White's heteroskedastic consistent (HC) covariance estimator, and various modifications of it, in linear regression models. An informed Bayesian bootstrap provides a useful framework.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 30 (2011)
Issue (Month): 4 ()
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- Lin, Eric S. & Chou, Ta-Sheng, 2012. "A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models," Economics Letters, Elsevier, vol. 116(3), pages 494-497.
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