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Asymptotic inference under heteroskedasticity of unknown form

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Cited by:

  1. Welz, Thilo & Viechtbauer, Wolfgang & Pauly, Markus, 2023. "Cluster-robust estimators for multivariate mixed-effects meta-regression," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
  2. José Curto & José Pinto & Ana Morais & Isabel Lourenço, 2011. "The heteroskedasticity-consistent covariance estimator in accounting," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 427-449, November.
  3. Nadia Fiorino & Nicola Pontarollo & Roberto Ricciuti, 2021. "Spatial links in the analysis of voter turnout in European Parliamentary elections," Letters in Spatial and Resource Sciences, Springer, vol. 14(1), pages 65-78, April.
  4. Hartigan, Luke, 2018. "Alternative HAC covariance matrix estimators with improved finite sample properties," Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 55-73.
  5. Ahmed, Mumtaz & Zaman, Asad, 2014. "A Minimax Bias Estimator for OLS Variances under Heteroskedasticity," MPRA Paper 55724, University Library of Munich, Germany.
  6. Marques, André M., 2022. "Is income inequality good or bad for growth? Further empirical evidence using data for all Brazilian cities," Structural Change and Economic Dynamics, Elsevier, vol. 62(C), pages 360-376.
  7. Rand R. Wilcox, 2017. "Linear regression: robust heteroscedastic confidence bands that have some specified simultaneous probability coverage," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2564-2574, October.
  8. Zeileis, Achim, 2006. "Implementing a class of structural change tests: An econometric computing approach," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 2987-3008, July.
  9. Benoît Le Maux & Federica Minardy & Charlotte Magalhaes, 2011. "Determinants of Electoral Outcomes: A simple Test of Meltzer and Richard's Hypothesis," Economics Working Paper from Condorcet Center for political Economy at CREM-CNRS 2011-03-ccr, Condorcet Center for political Economy.
  10. Benedikt M. Potscher & David Preinerstorfer, 2024. "A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics," Papers 2412.17470, arXiv.org, revised Oct 2025.
  11. Michael O'Hara & Christopher F. Parmeter, 2013. "Nonparametric Generalized Least Squares in Applied Regression Analysis," Pacific Economic Review, Wiley Blackwell, vol. 18(4), pages 456-474, October.
  12. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
  13. Zimmermann, Georg & Pauly, Markus & Bathke, Arne C., 2020. "Multivariate analysis of covariance with potentially singular covariance matrices and non-normal responses," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
  14. Pötscher, Benedikt M. & Preinerstorfer, David, 2025. "Valid Heteroskedasticity Robust Testing," Econometric Theory, Cambridge University Press, vol. 41(2), pages 249-301, April.
  15. Giwoong Bae & Hye-jin Kim, 2022. "The impact of online video highlights on TV audience ratings," Electronic Commerce Research, Springer, vol. 22(2), pages 405-425, June.
  16. André M. Marques, 2025. "Does fertility affect growth? Evidence and simulation results from alternative quantile regression estimators," Empirical Economics, Springer, vol. 68(5), pages 2255-2290, May.
  17. repec:jss:jstsof:11:i10 is not listed on IDEAS
  18. Weingarten, Nina & Bach, Leonie & Wang, Wen-Xiu & Roosen, Jutta & Hartmann, Monika, 2023. "Every Step You Take: Nudging Animal Welfare Product Sales in a Virtual Supermarket," 2023 Annual Meeting, July 23-25, Washington D.C. 335733, Agricultural and Applied Economics Association.
  19. MacKinnon, James G., 2011. "Thirty Years of Heteroskedasticity-Robust Inference," Queen's Economics Department Working Papers 273816, Queen's University - Department of Economics.
  20. Koń, Beata & Jakubczyk, Michał, 2019. "Is the literature on the WTP-WTA disparity biased?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
  21. Aleida Cobas-Valdés, 2016. "Cuban Immigrants in the United States: What Determines their Earnings Distribution?," Annual Proceedings, The Association for the Study of the Cuban Economy, vol. 26.
  22. Fernando Díaz & Pablo A Henríquez, 2021. "Social sentiment segregation: Evidence from Twitter and Google Trends in Chile during the COVID-19 dynamic quarantine strategy," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-29, July.
  23. Nicolas Sommet & Caroline Pulfrey & Fabrizio Butera, 2013. "Did My M.D. Really Go to University to Learn? Detrimental Effects of Numerus Clausus on Self-Efficacy, Mastery Goals and Learning," PLOS ONE, Public Library of Science, vol. 8(12), pages 1-1, December.
  24. Inhwan Ko & Aseem Prakash, 2022. "Signaling climate resilience to municipal bond markets: does membership in adaptation-focused voluntary clubs affect bond rating?," Climatic Change, Springer, vol. 171(1), pages 1-19, March.
  25. Matthias Gubler & Christoph Sax, 2019. "The Balassa-Samuelson effect reversed: new evidence from OECD countries," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 155(1), pages 1-21, December.
  26. Deepankar Basu, 2023. "The Yule-Frisch-Waugh-Lovell Theorem for Linear Instrumental Variables Estimation," Papers 2307.12731, arXiv.org, revised Aug 2023.
  27. Hausman, Jerry & Palmer, Christopher, 2012. "Heteroskedasticity-robust inference in finite samples," Economics Letters, Elsevier, vol. 116(2), pages 232-235.
  28. Wen, Miin-Jye & Chen, Shun-Yi & Chen, Hubert J., 2007. "On testing a subset of regression parameters under heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5958-5976, August.
  29. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
  30. Ke-Hai Yuan & Ying Cheng & Scott Maxwell, 2014. "Moderation Analysis Using a Two-Level Regression Model," Psychometrika, Springer;The Psychometric Society, vol. 79(4), pages 701-732, October.
  31. Francisco Cribari-Neto & Maria Lima, 2010. "Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1053-1082, December.
  32. Annalivia Polselli, 2023. "Robust Inference in Panel Data Models: Some Effects of Heteroskedasticity and Leveraged Data in Small Samples," Papers 2312.17676, arXiv.org.
  33. Donald W. K. Andrews & Patrik Guggenberger, 2014. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
  34. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2011. "FDR Control in the Presence of an Unknown Correlation Structure," Economics & Statistics Discussion Papers esdp11059, University of Molise, Department of Economics.
  35. Xu, Xun & Zeng, Shuo & He, Yuanjie, 2017. "The influence of e-services on customer online purchasing behavior toward remanufactured products," International Journal of Production Economics, Elsevier, vol. 187(C), pages 113-125.
  36. 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.
  37. Patrick K Piekarski & Stephany Valdés-Rodríguez & Daniel J C Kronauer, 2023. "Conditional indirect genetic effects of caregivers on brood in the clonal raider ant," Behavioral Ecology, International Society for Behavioral Ecology, vol. 34(4), pages 642-652.
  38. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
  39. Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu, 2020. "Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference," Working Papers 202027, University of California at Riverside, Department of Economics.
  40. Jakub Michulek & Lubica Gajanova & Dominika Gajdosikova & Matus Senci, 2025. "Corporate Culture, Leadership, and Pathological Relationships: A Moderated Mediation Model of Employees’ Well-Being," Administrative Sciences, MDPI, vol. 15(10), pages 1-32, October.
  41. Francisco Cribari-Neto & Wilton Silva, 2011. "A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 129-146, June.
  42. Szafranek, Karol, 2017. "Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy," Economic Modelling, Elsevier, vol. 63(C), pages 334-348.
  43. Lins, Isis Didier & Droguett, Enrique López & Moura, Márcio das Chagas & Zio, Enrico & Jacinto, Carlos Magno, 2015. "Computing confidence and prediction intervals of industrial equipment degradation by bootstrapped support vector regression," Reliability Engineering and System Safety, Elsevier, vol. 137(C), pages 120-128.
  44. repec:jss:jstsof:16:i09 is not listed on IDEAS
  45. Richard, Patrick, 2017. "Robust heteroskedasticity-robust tests," Economics Letters, Elsevier, vol. 159(C), pages 28-32.
  46. Xiaohui Xu, 2022. "The Impacts of COVID-19 on the Rank-Size Distribution of Regional Tourism Central Places: A Case of Guangdong-Hong Kong-Macao Greater Bay Area," Sustainability, MDPI, vol. 14(19), pages 1-21, September.
  47. Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few, 2021. "Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression," Econometrics and Statistics, Elsevier, vol. 18(C), pages 117-142.
  48. 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.
  49. Dale Poirier, 2008. "Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap," Working Papers 080905, University of California-Irvine, Department of Economics.
  50. Lyócsa, Štefan & Molnár, Peter, 2017. "The effect of non-trading days on volatility forecasts in equity markets," Finance Research Letters, Elsevier, vol. 23(C), pages 39-49.
  51. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
  52. Uchôa, Carlos F.A. & Cribari-Neto, Francisco & Menezes, Tatiane A., 2014. "Testing inference in heteroskedastic fixed effects models," European Journal of Operational Research, Elsevier, vol. 235(3), pages 660-670.
  53. Maria Thurow & Thilo Welz & Eric Knop & Tim Friede & Markus Pauly, 2025. "Robust confidence intervals for meta-regression with interaction effects," Computational Statistics, Springer, vol. 40(3), pages 1337-1360, March.
  54. Francisco Cribari-Neto & Maria da Gloria Lima, 2010. "Approximate inference in heteroskedastic regressions: A numerical evaluation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(4), pages 591-615.
  55. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
  56. Alina Elbers & Stephan Kolominski & Pablo Salvador Blesa Aledo, 2023. "Coping with Dark Leadership: Examination of the Impact of Psychological Capital on the Relationship between Dark Leaders and Employees’ Basic Need Satisfaction in the Workplace," Administrative Sciences, MDPI, vol. 13(4), pages 1-13, March.
  57. Lin, Eric S. & Chou, Ta-Sheng, 2012. "A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models," Economics Letters, Elsevier, vol. 116(3), pages 494-497.
  58. Karol Szafranek & Aleksandra Hałka, 2019. "Determinants of Low Inflation in an Emerging, Small Open Economy through the Lens of Aggregated and Disaggregated Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(13), pages 3094-3111, October.
  59. Mao, Guangyu, 2013. "Model selection for regression with heteroskedastic and autocorrelated errors," Economics Letters, Elsevier, vol. 118(3), pages 497-501.
  60. Katarzyna Jabłońska, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 423-452, September.
  61. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
  62. Lyocsa, Stefan, 2015. "Predicting changes in the output of OECD countries: An international network perspective," MPRA Paper 65774, University Library of Munich, Germany.
  63. Croissant, Yves & Millo, Giovanni, 2008. "Panel Data Econometrics in R: The plm Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i02).
  64. Kwangsoo Kim & Eun-Hwa Seo & Choo Yeon Kim, 2025. "The Relationships Between Environmental Dynamism, Absorptive Capacity, Organizational Ambidexterity, and Innovation Performance from the Dynamic Capabilities Perspective," Sustainability, MDPI, vol. 17(2), pages 1-28, January.
  65. de Sousa, Maria da Conceição Sampaio & Cribari-Neto, Francisco & Stosic, Borko D., 2005. "Explaining DEA Technical Efficiency Scores in an Outlier Corrected Environment: The Case of Public Services in Brazilian Municipalities," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
  66. Sebastian Kranz, 2024. "From Replications to Revelations: Heteroskedasticity-Robust Inference," Papers 2411.14763, arXiv.org, revised Dec 2024.
  67. repec:jss:jstsof:27:i02 is not listed on IDEAS
  68. Patrick J. Rosopa & Amber N. Schroeder & Jessica L. Doll, 2016. "Detecting Between-Groups Heteroscedasticity in Moderated Multiple Regression With a Continuous Predictor and a Categorical Moderator," SAGE Open, , vol. 6(1), pages 21582440156, January.
  69. Leslie G. Godrey, 2010. "Robust Nonnested Testing for Ordinary Least Squares Regression When Some of the Regressors are Lagged Dependent Variables," Discussion Papers 10/22, Department of Economics, University of York.
  70. Pavlidis Efthymios G. & Paya Ivan & Peel David A., 2013. "Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 297-312, May.
  71. repec:ags:aaea22:335733 is not listed on IDEAS
  72. Cheng, Tsung-Chi, 2012. "On simultaneously identifying outliers and heteroscedasticity without specific form," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2258-2272.
  73. Preinerstorfer, David & Pötscher, Benedikt M., 2016. "On Size And Power Of Heteroskedasticity And Autocorrelation Robust Tests," Econometric Theory, Cambridge University Press, vol. 32(2), pages 261-358, April.
  74. DiCiccio, Cyrus J. & Romano, Joseph P. & Wolf, Michael, 2019. "Improving weighted least squares inference," Econometrics and Statistics, Elsevier, vol. 10(C), pages 96-119.
  75. Hrishikesh D. Vinod, 2008. "Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series," Fordham Economics Discussion Paper Series dp2008-15, Fordham University, Department of Economics.
  76. Paul Dudgeon, 2017. "Some Improvements in Confidence Intervals for Standardized Regression Coefficients," Psychometrika, Springer;The Psychometric Society, vol. 82(4), pages 928-951, December.
  77. Jabłońska Katarzyna, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Statistics Poland, vol. 19(3), pages 433-452, September.
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