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Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties

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  • James G. MacKinnon
  • Halbert White

Abstract

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine finite-sample properties using modified critical values based on Edgeworth approximations, as proposed by Rothenberg. In addition, we compare the power of several tests for heteroskedasticity and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_537.pdf
File Function: First version 1983
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Bibliographic Info

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 537.

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Length: 23
Date of creation: 1983
Date of revision:
Publication status: Published in Journal of Econometrics, 29, 1985
Handle: RePEc:qed:wpaper:537

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Keywords: Jackknife; Heteroskedasticity; HCCME; Edgeworth approximations;

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  1. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
  2. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
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