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Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap

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  • Dale Poirier

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    (Department of Economics, University of California-Irvine)

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    Abstract

    This paper provides Bayesian rationalizations for White’s heteroskedastic consistent (HC) covariance estimator and various modifications of it. An informed Bayesian bootstrap provides the statistical framework.

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    File URL: http://www.economics.uci.edu/files/economics/docs/workingpapers/2008-09/poirier-05.pdf
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    Bibliographic Info

    Paper provided by University of California-Irvine, Department of Economics in its series Working Papers with number 080905.

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    Length: 13 pages
    Date of creation: Sep 2008
    Date of revision:
    Handle: RePEc:irv:wpaper:080905

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    1. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers, Queen's University, Department of Economics 537, Queen's University, Department of Economics.
    2. F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 18(2), pages 211-228.
    3. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(10), pages 2715-2733, June.
    4. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 45(2), pages 215-233, March.
    5. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers, University of California-Irvine, Department of Economics 060714, University of California-Irvine, Department of Economics.
    6. Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1772, Harvard - Institute of Economic Research.
    7. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, Econometric Society, vol. 55(5), pages 1217-22, September.
    8. Kauermann G. & Carroll R.J., 2001. "A Note on the Efficiency of Sandwich Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 96, pages 1387-1396, December.
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