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

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Author Info
Dale Poirier () (Department of Economics, University of California-Irvine)
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/docs/2008-09/poirier-05.pdf
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Publisher 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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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.:
  1. 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, vol. 96, pages 1387-1396, December. [Downloadable!] (restricted)
  2. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics. [Downloadable!]
  3. F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor and Francis Journals, vol. 18(2), pages 211-228. [Downloadable!] (restricted)
  4. Chamberlain, Gary & Imbens, Guido W, 2003. "Nonparametric Applications of Bayesian Inference," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 12-18, January.
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  5. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
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  7. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September. [Downloadable!] (restricted)
  8. 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. [Downloadable!] (restricted)
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This page was last updated on 2009-11-22.

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