New heteroskedasticity-robust standard errors for the linear regression model

DOI10.1214/12-BJPS196zbMath1426.62197OpenAlexW2042145346MaRDI QIDQ2448569

Maria da Glória A. Lima, Francisco Cribari-Neto

Publication date: 2 May 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1391611339

zbMATH Keywords

linear regressionheteroskedasticitycovariance matrix estimationquasi-\(t\) test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (2)

A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity ⋮ VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity

Uses Software

• Ox

Cites Work

• Unnamed Item
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• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• Inference Under Heteroskedasticity and Leveraged Data

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