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Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties

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Cited by:

  1. Tyrväinen, Timo, 1991. "Unions, wages and employment: evidence from Finland," Bank of Finland Research Discussion Papers 16/1991, Bank of Finland.
  2. Diego Winkelried & Luis A. Iberico, 2018. "Calendar effects in Latin American stock markets," Empirical Economics, Springer, vol. 54(3), pages 1215-1235, May.
  3. MacKinnon, J G, 1989. "Heteroskedasticity-Robust Tests for Structural Change," Empirical Economics, Springer, vol. 14(2), pages 77-92.
  4. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  5. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
  6. Marcella Cartledge & Luke Taylor, 2022. "Incentive pay and decision quality: evidence from NCAA football coaches," Applied Economics, Taylor & Francis Journals, vol. 54(30), pages 3505-3520, June.
  7. Harvey, David I. & van Dijk, Dick, 2006. "Sample size, lag order and critical values of seasonal unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2734-2751, June.
  8. Ye, Dezhu & Liu, Shasha & Kong, Dongmin, 2013. "Do efforts on energy saving enhance firm values? Evidence from China's stock market," Energy Economics, Elsevier, vol. 40(C), pages 360-369.
  9. Marc Poitras, 2004. "The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence," Southern Economic Journal, John Wiley & Sons, vol. 70(3), pages 549-565, January.
  10. A. Colin Cameron & Jonah B. Gelbach & Douglas L. Miller, 2008. "Bootstrap-Based Improvements for Inference with Clustered Errors," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 414-427, August.
  11. Flachaire, Emmanuel, 1999. "A better way to bootstrap pairs," Economics Letters, Elsevier, vol. 64(3), pages 257-262, September.
  12. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2015. "Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation," Economics Letters, Elsevier, vol. 132(C), pages 13-17.
  13. Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194.
  14. Victor Chernozhukov & Iv·n Fern·ndez-Val & Alfred Galichon, 2010. "Quantile and Probability Curves Without Crossing," Econometrica, Econometric Society, vol. 78(3), pages 1093-1125, May.
  15. Umirah, Fatin & Masih, Mansur, 2017. "Should the Malaysian Islamic stock market investors invest in regional and international equity market to gain portfolio diversification benefits ?," MPRA Paper 79762, University Library of Munich, Germany.
  16. Marius BRÜLHART & Federico TRIONFETTI, 1999. "Home-Biased Demand and International Specialisation : A Test of Trade Theories," Cahiers de Recherches Economiques du Département d'économie 9918, Université de Lausanne, Faculté des HEC, Département d’économie.
  17. Kaidi Kang & Megan T. Jones & Kristan Armstrong & Suzanne Avery & Maureen McHugo & Stephan Heckers & Simon Vandekar, 2023. "Accurate Confidence and Bayesian Interval Estimation for Non-centrality Parameters and Effect Size Indices," Psychometrika, Springer;The Psychometric Society, vol. 88(1), pages 253-273, March.
  18. Hallmann, Kirstin, 2015. "Modelling the decision to volunteer in organised sports," Sport Management Review, Elsevier, vol. 18(3), pages 448-463.
  19. Timothy B. Armstrong & Michal Kolesár & Mikkel Plagborg‐Møller, 2022. "Robust Empirical Bayes Confidence Intervals," Econometrica, Econometric Society, vol. 90(6), pages 2567-2602, November.
  20. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
  21. Doron Reichmann & Rouven Möller & Tobias Hertel, 2022. "Nothing but good intentions: the search for equity and stock price crash risk," Journal of Business Economics, Springer, vol. 92(9), pages 1455-1489, November.
  22. Hunt, Len M. & Boxall, Peter & Englin, Jeffrey & Haider, Wolfgang, 2005. "Remote tourism and forest management: a spatial hedonic analysis," Ecological Economics, Elsevier, vol. 53(1), pages 101-113, April.
  23. MacKinnon, James G., 2020. "Wild cluster bootstrap confidence intervals," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 721-743, Décembre.
  24. Zhang, Xiaomeng & Zhou, Jing, 2014. "Empowering leadership, uncertainty avoidance, trust, and employee creativity: Interaction effects and a mediating mechanism," Organizational Behavior and Human Decision Processes, Elsevier, vol. 124(2), pages 150-164.
  25. Belke, Ansgar & Volz, Ulrich, 2018. "Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors," IDOS Discussion Papers 23/2018, German Institute of Development and Sustainability (IDOS).
  26. Weidner, Martin & Zylkin, Thomas, 2021. "Bias and consistency in three-way gravity models," Journal of International Economics, Elsevier, vol. 132(C).
  27. Ingar K. Haaland & Andreas Olden, 2022. "Fraud Concerns and Support for Economic Relief Programs," CESifo Working Paper Series 9925, CESifo.
  28. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  29. Abebaw, Degnet & Kassa, Habtemariam & Kassie, Girma T. & Lemenih, Mulugeta & Campbell, Bruce & Teka, Worku, 2012. "Dry forest based livelihoods in resettlement areas of Northwestern Ethiopia," Forest Policy and Economics, Elsevier, vol. 20(C), pages 72-77.
  30. Giulio Bottazzi & Alex Coad & Nadia Jacoby & Angelo Secchi, 2011. "Corporate growth and industrial dynamics: evidence from French manufacturing," Applied Economics, Taylor & Francis Journals, vol. 43(1), pages 103-116.
  31. Guido W. Imbens & Michal Kolesár, 2016. "Robust Standard Errors in Small Samples: Some Practical Advice," The Review of Economics and Statistics, MIT Press, vol. 98(4), pages 701-712, October.
  32. Neil Karunaratne, 1997. "High-Tech Innovation, Growth and Trade Dynamics in Australia," Open Economies Review, Springer, vol. 8(2), pages 151-170, April.
  33. Marc Poitras & Daniel Sutter, 2002. "Policy Ineffectiveness or Offsetting Behavior? An Analysis of Vehicle Safety Inspections," Southern Economic Journal, John Wiley & Sons, vol. 68(4), pages 922-934, April.
  34. Nguyen Quan & Makoto Kakinaka & Koji Kotani, 2017. "How does urbanization affect energy and CO2 emission intensities in Vietnam? Evidence from province-level data," Working Papers SDES-2017-8, Kochi University of Technology, School of Economics and Management, revised Jun 2017.
  35. Kirstin Hallmann & Cristina Muñiz Artime & Christoph Breuer & Sören Dallmeyer & Magnus Metz, 2017. "Leisure participation: modelling the decision to engage in sports and culture," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 41(4), pages 467-487, November.
  36. Angrist, Josh & Lavy, Victor, 2002. "The Effect of High School Matriculation Awards: Evidence from Randomized Trials," CEPR Discussion Papers 3827, C.E.P.R. Discussion Papers.
  37. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
  38. Patrick Richard, 2014. "Bootstrap tests in linear models with many regressors," Cahiers de recherche 14-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
  39. Koetter, Michael & Krause, Thomas & Tonzer, Lena, 2019. "Delay determinants of European Banking Union implementation," European Journal of Political Economy, Elsevier, vol. 58(C), pages 1-20.
  40. Tom Boot & Andreas Pick, 2017. "A near optimal test for structural breaks when forecasting under square error loss," Tinbergen Institute Discussion Papers 17-039/III, Tinbergen Institute.
  41. Bouzgarrou, Houssam & Navatte, Patrick, 2013. "Ownership structure and acquirers performance: Family vs. non-family firms," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 123-134.
  42. Ho, Chun-Yu & Ho, Wai-Yip Alex & Li, Dan, 2015. "Intranational risk sharing and its determinants," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 89-113.
  43. Tyrväinen, Timo, 1992. "Wage drift and error correction: Evidence from Finland," Bank of Finland Research Discussion Papers 35/1992, Bank of Finland.
  44. Maobin Wang & Chun Qiu & Dongmin Kong, 2011. "Corporate Social Responsibility, Investor Behaviors, and Stock Market Returns: Evidence from a Natural Experiment in China," Journal of Business Ethics, Springer, vol. 101(1), pages 127-141, June.
  45. Daniel Kaufmann, 2020. "Does government-backed lending prevent unemployment? An assessment of the Swiss COVID-19 lending program," IRENE Working Papers 20-10, IRENE Institute of Economic Research.
  46. Zhuan Pei & Jörn-Steffen Pischke & Hannes Schwandt, 2019. "Poorly Measured Confounders are More Useful on the Left than on the Right," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 205-216, April.
  47. Sergi, Bruno S. & Harjoto, Maretno Agus & Rossi, Fabrizio & Lee, Robert, 2021. "Do stock markets love misery? Evidence from the COVID-19," Finance Research Letters, Elsevier, vol. 42(C).
  48. Matti Viren, 2001. "Modelling crime and punishment," Applied Economics, Taylor & Francis Journals, vol. 33(14), pages 1869-1879.
  49. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
  50. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
  51. Cordell, Lawrence R. & King, Kathleen Kuester, 1995. "A market evaluation of the risk-based capital standards for the U.S. financial system," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 531-562, June.
  52. Salisu, Afees A. & Adediran, Idris A., 2019. "Assessing the inflation hedging potential of coal and iron ore in Australia," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
  53. Yasean A. Tahat & Ahmed H. Ahmed & Mohammad M. Alhadab, 2018. "The impact of intangibles on firms’ financial and market performance: UK evidence," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 1147-1168, May.
  54. Tony Cavoli, 2017. "Managing Capital Inflows Indirectly? On the Determinants of Monetary Sterilization with Reference to East Asia," Review of International Economics, Wiley Blackwell, vol. 25(2), pages 262-278, May.
  55. Dmitry Arkhangelsky & Susan Athey & David A. Hirshberg & Guido W. Imbens & Stefan Wager, 2021. "Synthetic Difference-in-Differences," American Economic Review, American Economic Association, vol. 111(12), pages 4088-4118, December.
  56. Umair Khalil & Alamgir & Amjad Ali & Dost Muhammad Khan & Sajjad Ahmad Khan & Zardad Khan, 2016. "Unit Root Testing and Estimation in Nonlinear ESTAR Models with Normal and Non-Normal Errors," PLOS ONE, Public Library of Science, vol. 11(11), pages 1-11, November.
  57. Alberto Abadie & Susan Athey & Guido W. Imbens & Jeffrey M. Wooldridge, 2020. "Sampling‐Based versus Design‐Based Uncertainty in Regression Analysis," Econometrica, Econometric Society, vol. 88(1), pages 265-296, January.
  58. Nelson B Villoria, 2019. "Technology Spillovers and Land Use Change: Empirical Evidence from Global Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(3), pages 870-893.
  59. Wang Pengyuan & Traskin Mikhail & Small Dylan S., 2013. "Robust Inferences from a Before-and-After Study with Multiple Unaffected Control Groups," Journal of Causal Inference, De Gruyter, vol. 1(2), pages 209-234, June.
  60. repec:zbw:bofrdp:1991_016 is not listed on IDEAS
  61. Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
  62. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
  63. repec:ipg:wpaper:2013-035 is not listed on IDEAS
  64. Godfrey, Leslie G., 1996. "Some results on the Glejser and Koenker tests for heteroskedasticity," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 275-299.
  65. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust," Stata Journal, StataCorp LP, vol. 23(4), pages 942-982, December.
  66. Cooney, John W. & Moeller, Thomas & Stegemoller, Mike, 2009. "The underpricing of private targets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 51-66, July.
  67. Antoine, Bertille & Lavergne, Pascal, 2023. "Identification-robust nonparametric inference in a linear IV model," Journal of Econometrics, Elsevier, vol. 235(1), pages 1-24.
  68. Alexandre Belloni & Victor Chernozhukov & Christian Hansen, 2011. "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls," Papers 1201.0224, arXiv.org, revised May 2012.
  69. Samii, Cyrus & Aronow, Peter M., 2012. "On equivalencies between design-based and regression-based variance estimators for randomized experiments," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 365-370.
  70. Konstantin Gorgen & Melanie Schienle, 2019. "How have German University Tuition Fees Affected Enrollment Rates: Robust Model Selection and Design-based Inference in High-Dimensions," Papers 1909.08299, arXiv.org, revised Jan 2021.
  71. Krüger, Jens J. & Rhiel, Mathias, 2016. "Determinants of ICT infrastructure: A cross-country statistical analysis," Darmstadt Discussion Papers in Economics 228, Darmstadt University of Technology, Department of Law and Economics.
  72. Palomino, Frederic & Renneboog, Luc & Zhang, Chendi, 2009. "Information salience, investor sentiment, and stock returns: The case of British soccer betting," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 368-387, June.
  73. Xiaosai Liao & Xinjue Li & Qingliang Fan, 2024. "Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia," Papers 2401.01064, arXiv.org.
  74. Fortin, Bernard & Lacroix, Guy & Montmarquette, Claude, 2000. "Are Underground Workers More Likely to be Underground Consumers?," Economic Journal, Royal Economic Society, vol. 110(466), pages 838-860, October.
  75. Miravete, Eugenio, 2004. "Are all those Calling Plans Really Necessary? The Limited Gains From Complex Tariffs," CEPR Discussion Papers 4237, C.E.P.R. Discussion Papers.
  76. Aihounton, Ghislain & Henningsen, Arne & Trifkovic, Neda, 2021. "Pesticide Handling and Human Health: Conventional and Organic Cotton Farming in Benin," 2021 Conference, August 17-31, 2021, Virtual 315407, International Association of Agricultural Economists.
  77. repec:zbw:bofrdp:1991_021 is not listed on IDEAS
  78. R. R. Croes & Y. J. F. M. Krabbe-Alkemade & M. C. Mikkers, 2018. "Competition and quality indicators in the health care sector: empirical evidence from the Dutch hospital sector," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 19(1), pages 5-19, January.
  79. Richard H. Spady & Sami Stouli, 2018. "Simultaneous Mean-Variance Regression," Bristol Economics Discussion Papers 18/697, School of Economics, University of Bristol, UK.
  80. José María Arranz, "undated". "La Seguridad Del Empleo En España: Evidencia Con Datos De La Epa (1987-2003)," Working Papers 5-04 Classification-JEL :, Instituto de Estudios Fiscales.
  81. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
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  85. David Roodman, 2023. "Large-Scale Education Reform in General Equilibrium: Regression Discontinuity Evidence from India: Comment," Papers 2303.11956, arXiv.org, revised Sep 2023.
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  87. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
  88. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
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  90. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2023. "Fast and reliable jackknife and bootstrap methods for cluster‐robust inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(5), pages 671-694, August.
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  119. Kaplanoglou, Georgia & Newbery, David Michael, 2003. "Indirect Taxation in Greece: Evaluation and Possible Reform," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 10(5), pages 511-533, September.
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  122. Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
  123. Amiya Basu & Tridib Mazumdar & S. P. Raj, 2003. "Indirect Network Externality Effects on Product Attributes," Marketing Science, INFORMS, vol. 22(2), pages 209-221, April.
  124. Malik, Adeel & Temple, Jonathan R.W., 2009. "The geography of output volatility," Journal of Development Economics, Elsevier, vol. 90(2), pages 163-178, November.
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