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Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form

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  • Francisco Cribari-Neto & Maria Lima, 2010. "Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1053-1082, December.
  • Handle: RePEc:spr:aistmt:v:62:y:2010:i:6:p:1053-1082 DOI: 10.1007/s10463-008-0201-5
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    References listed on IDEAS

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    1. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
    2. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, pages 361-376.
    3. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, pages 205-230.
    4. 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.
    5. 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.
    6. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-1222, September.
    7. 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.
    8. Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 1998. "On bootstrap and analytical bias corrections," Economics Letters, Elsevier, vol. 58(1), pages 7-15, January.
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    Cited by:

    1. James G. MacKinnon, 2012. "Thirty Years of Heteroskedasticity-Robust Inference," Working Papers 1268, Queen's University, Department of Economics.

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