Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
AbstractThis paper provides Bayesian rationalizations for Whiteâ€™s heteroskedastic consistent (HC) covariance estimator and various modifications of it. An informed Bayesian bootstrap provides the statistical framework.
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Bibliographic InfoPaper provided by University of California-Irvine, Department of Economics in its series Working Papers with number 080905.
Length: 13 pages
Date of creation: Sep 2008
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
- NEP-ECM-2008-09-20 (Econometrics)
- NEP-ORE-2008-09-20 (Operations Research)
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