Heteroskedasticity-Robust Inference in Finite Samples
AbstractSince the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansions of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 17698.
Date of creation: Dec 2011
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Publication status: published as Economics Letters, Volume 116, Issue 2, August 2012, Pages 232-235
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- Hausman, Jerry & Palmer, Christopher, 2012. "Heteroskedasticity-robust inference in finite samples," Economics Letters, Elsevier, vol. 116(2), pages 232-235.
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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