IDEAS home Printed from https://ideas.repec.org/p/ags/quedwp/273816.html
   My bibliography  Save this paper

Thirty Years of Heteroskedasticity-Robust Inference

Author

Listed:
  • MacKinnon, James G.

Abstract

White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation methods. This paper discusses the development of heteroskedasticity-robust inference since 1980. There have been two principal lines of investigation. One approach has been to modify White’s original estimator to improve its finite-sample properties, and the other has been to use bootstrap methods. The relation between these two approaches, and some ways in which they may be combined, are discussed. Finally, a simulation experiment compares various methods and shows how far heteroskedasticity-robust inference has come in just over thirty years.

Suggested Citation

  • MacKinnon, James G., 2011. "Thirty Years of Heteroskedasticity-Robust Inference," Queen's Economics Department Working Papers 273816, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273816
    DOI: 10.22004/ag.econ.273816
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/273816/files/qed_wp_1268.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.273816?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Peter Z. Schochet, "undated". "Statistical Theory for the RCT-YES Software: Design-Based Causal Inference for RCTs," Mathematica Policy Research Reports a0c005c003c242308a92c02dc, Mathematica Policy Research.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:quedwp:273816. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.