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A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model

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  • Francisco Cribari-Neto & Wilton Silva, 2011. "A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 129-146, June.
  • Handle: RePEc:spr:alstar:v:95:y:2011:i:2:p:129-146
    DOI: 10.1007/s10182-010-0141-2
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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. 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.
    3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    4. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-1222, September.
    5. 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.
    6. Francisco Cribari-Neto & Maria da Gloria Lima, 2010. "Approximate inference in heteroskedastic regressions: A numerical evaluation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(4), pages 591-615.
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    5. Hübler, Olaf, 2013. "Methods in empirical economics - a selective review with applications," Hannover Economic Papers (HEP) dp-513, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Katarzyna Jabłońska, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 423-452, September.
    7. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
    8. Jabłońska Katarzyna, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 433-452, September.
    9. Hartigan, Luke, 2018. "Alternative HAC covariance matrix estimators with improved finite sample properties," Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 55-73.
    10. Hübler, Olaf, 2014. "Estimation of standard errors and treatment effects in empirical economics : methods and applications," Journal for Labour Market Research, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 47(1-2), pages 43-62.
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