Heteroskedasticity-Robust Inference in Finite Samples
Download full text from publisher
Other versions of this item:
- Hausman, Jerry & Palmer, Christopher, 2012. "Heteroskedasticity-robust inference in finite samples," Economics Letters, Elsevier, vol. 116(2), pages 232-235.
References listed on IDEAS
- Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
- Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
- Hausman, Jerry & Kuersteiner, Guido, 2008.
"Difference in difference meets generalized least squares: Higher order properties of hypotheses tests,"
Journal of Econometrics,
Elsevier, vol. 144(2), pages 371-391, June.
- Jerry Hausman & Guido Kuersteiner, 2005. "Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests," Boston University - Department of Economics - Working Papers Series WP2005-010, Boston University - Department of Economics.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
- MacKinnon, James G. & White, Halbert, 1985.
"Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties,"
Journal of Econometrics,
Elsevier, vol. 29(3), pages 305-325, September.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guido W. Imbens & Michal Kolesár, 2016.
"Robust Standard Errors in Small Samples: Some Practical Advice,"
The Review of Economics and Statistics,
MIT Press, vol. 98(4), pages 701-712, October.
- Guido W. Imbens & Michal Kolesar, 2012. "Robust Standard Errors in Small Samples: Some Practical Advice," NBER Working Papers 18478, National Bureau of Economic Research, Inc.
- Peter Z. Schochet, 2015. "Statistical Theory for the RCT-YES Software: Design-Based Causal Inference for RCTs," Mathematica Policy Research Reports a0c005c003c242308a92c02dc, Mathematica Policy Research.
- Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
- repec:eee:ecolet:v:159:y:2017:i:c:p:28-32 is not listed on IDEAS
- Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
- Abe, Naohito & Ueno, Yuko, 2015. "Measuring Inflation Expectations: Consumers' Heterogeneity and Nonlinearity," RCESR Discussion Paper Series DP15-5, Research Center for Economic and Social Risks, Institute of Economic Research, Hitotsubashi University.
More about this item
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
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:nbr:nberwo:17698. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: () or (Joanne Lustig). General contact details of provider: http://edirc.repec.org/data/nberrus.html .