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Thirty Years Of Heteroskedasticity-robust Inference

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  • James G. MacKinnon

    (Queen's University)

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

  • James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:1268
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1268.pdf
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    References listed on IDEAS

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    Cited by:

    1. MacKinnon, James G., 2020. "Wild cluster bootstrap confidence intervals," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 721-743, Décembre.
    2. 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.
    3. Anatolyev, Stanislav, 2021. "Mallows criterion for heteroskedastic linear regressions with many regressors," Economics Letters, Elsevier, vol. 203(C).
    4. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
    5. Matias Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Treatment effects with many covariates and heteroskedasticity," CeMMAP working papers CWP37/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2018. "Inference in Linear Regression Models with Many Covariates and Heteroscedasticity," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1350-1361, July.
    7. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
    8. Hansen, Bruce E. & Lee, Seojeong, 2019. "Asymptotic theory for clustered samples," Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
    9. James G. MacKinnon & Matthew D. Webb, 2017. "Pitfalls When Estimating Treatment Effects Using Clustered Data," Working Paper 1387, Economics Department, Queen's University.
    10. DiCiccio, Cyrus J. & Romano, Joseph P. & Wolf, Michael, 2019. "Improving weighted least squares inference," Econometrics and Statistics, Elsevier, vol. 10(C), pages 96-119.
    11. Startz, Richard, 2012. "Bayesian Heteroskedasticity-Robust Standard Errors," University of California at Santa Barbara, Economics Working Paper Series qt69c4x8m9, Department of Economics, UC Santa Barbara.
    12. Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
    13. Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf, 2016. "Improving weighted least squares inference," ECON - Working Papers 232, Department of Economics - University of Zurich, revised Nov 2017.

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    More about this item

    Keywords

    wild bootstrap; HCCME; power; finite-sample;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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