Heteroskedasticity-robust inference in finite samples
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- Jerry A. Hausman & Christopher J. Palmer, 2011. "Heteroskedasticity-Robust Inference in Finite Samples," NBER Working Papers 17698, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
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- Hausman, Jerry & Kuersteiner, Guido, 2008.
"Difference in difference meets generalized least squares: Higher order properties of hypotheses tests,"
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- Jerry Hausman & Guido Kuersteiner, 2005. "Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests," Boston University - Department of Economics - Working Papers Series WP2005-010, Boston University - Department of Economics.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
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- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
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- James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Guido W. Imbens & Michal Kolesar, 2012. "Robust Standard Errors in Small Samples: Some Practical Advice," NBER Working Papers 18478, National Bureau of Economic Research, Inc.
- Peter Z. Schochet, 2015. "Statistical Theory for the RCT-YES Software: Design-Based Causal Inference for RCTs," Mathematica Policy Research Reports a0c005c003c242308a92c02dc, Mathematica Policy Research.
- Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
- repec:eee:ecolet:v:159:y:2017:i:c:p:28-32 is not listed on IDEAS
- Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
- Abe, Naohito & Ueno, Yuko, 2015. "Measuring Inflation Expectations: Consumers' Heterogeneity and Nonlinearity," RCESR Discussion Paper Series DP15-5, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.
More about this item
KeywordsHeteroskedasticity; Finite samples; Edgeworth expansion; Bootstrap;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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