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Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap

  • Dale Poirier


    (Department of Economics, University of California-Irvine)

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    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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    Paper provided by University of California-Irvine, Department of Economics in its series Working Papers with number 080905.

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    Length: 13 pages
    Date of creation: Sep 2008
    Date of revision:
    Handle: RePEc:irv:wpaper:080905
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    1. James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Papers 537, Queen's University, Department of Economics.
    2. Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," Harvard Institute of Economic Research Working Papers 1772, Harvard - Institute of Economic Research.
    3. Giuseppe Ragusa, 2007. "Bayesian Likelihoods for Moment Condition Models," Working Papers 060714, University of California-Irvine, Department of Economics.
    4. L. Randall Wray & Stephanie Bell, 2004. "Introduction," Chapters, in: Credit and State Theories of Money, chapter 1 Edward Elgar.
    5. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
    6. 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.
    7. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    8. 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.
    9. 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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