Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
This article provides Bayesian interpretations for White's heteroskedastic consistent (HC) covariance estimator, and various modifications of it, in linear regression models. An informed Bayesian bootstrap provides a useful framework.
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Volume (Year): 30 (2011)
Issue (Month): 4 (August)
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