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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- James G. MacKinnon & Halbert White, 1983.
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537, Queen's University, Department of Economics.
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NBER Technical Working Papers
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- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," Harvard Institute of Economic Research Working Papers 1772, Harvard - Institute of Economic Research.
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- Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
- Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
- 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.
- Kauermann G. & Carroll R.J., 2001. "A Note on the Efficiency of Sandwich Covariance Matrix Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1387-1396, December.
- L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar.
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