Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
This paper provides Bayesian rationalizations for White’s heteroskedastic consistent (HC) covariance estimator and various modifications of it. An informed Bayesian bootstrap provides the statistical framework.
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- 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.
- 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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