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Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties

Author

Listed:
  • James G. MacKinnon
  • Halbert White

Abstract

We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine finite-sample properties using modified critical values based on Edgeworth approximations, as proposed by Rothenberg. In addition, we compare the power of several tests for heteroskedasticity and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.

Suggested Citation

  • James G. MacKinnon & Halbert White, 1983. "Some Heteroskedasticity Consistent Covariance Matrix Estimators with Improved Finite Sample Properties," Working Paper 537, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:537
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    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_537.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    3. Messer, Karen & White, Halbert, 1984. "A Note on Computing the Heteroskedasticity Consistent Covariance Matrix Using Instrumental Variable Techniques," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 46(2), pages 181-184, May.
    4. Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
    5. Koenker, Roger, 1981. "A note on studentizing a test for heteroscedasticity," Journal of Econometrics, Elsevier, vol. 17(1), pages 107-112, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Jackknife; Heteroskedasticity; HCCME; Edgeworth approximations;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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