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Tests for regression models with heteroskedasticity of unknown form

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4G3144K-1/2/9cc56b9faa5fc0880520a7e588388c21
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 50 (2006)
Issue (Month): 10 (June)
Pages: 2715-2733

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Handle: RePEc:eee:csdana:v:50:y:2006:i:10:p:2715-2733
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. 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.
  2. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
  3. Russell Davidson & Emmanuel Flachaire, 2000. "The Wild Bootstrap, Tamed at Last," Econometric Society World Congress 2000 Contributed Papers 1413, Econometric Society.
  4. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
  5. Godfrey, Leslie G. & Orme, Chris D., 2004. "Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients," Economics Letters, Elsevier, vol. 82(2), pages 281-287, February.
  6. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
  7. Russell Davidson & James G. MacKinnon, 1985. "Heteroskedasticity-Robust Tests in Regression Directions," Working Papers 616, Queen's University, Department of Economics.
  8. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  9. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  10. F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 211-228.
  11. David A. Belsley, 2000. "An Investigation Of An Unbiased Corection For Heteroskedasticity And The Effects Of Misspecifying The Skedastic Function," Computing in Economics and Finance 2000 154, Society for Computational Economics.
  12. Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
  13. Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
  14. L. G. Godfrey & C. D. Orme, 1999. "The robustness, reliabiligy and power of heteroskedasticity tests," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 169-194.
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