A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators

DOI10.1081/STA-120023261MaRDI QIDQ4420245zbMATH OpenFDO

Authors Nila M. S. Galvão, Francisco Cribari-Neto

Publication date 14 August 2003

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/STA-120023261

zbMATH Keywords

Bias correctionCovariance matrix estimationHeteroskedasticityLinear regressionWhite's estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Recommendations

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Estimating Heteroscedastic Variances in Linear Models
• Improved heteroscedasticity-consistent covariance matrix estimators
• Jackknifing in Unbalanced Situations
• Linear Statistical Inference and its Applications
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Cited in

(19)

• A construction method of certain matrices required in the multivariate heteroscedastic method
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• Some improved estimators in the case of possible heteroscedasticity
• A sequence of improved standard errors under heteroskedasticity of unknown form
• Improved heteroscedasticity-consistent covariance matrix estimators
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• Heteroskedasticity-consistent interval estimators
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• scientific article; zbMATH DE number 7133069 (Why is no real title available?)
• Inference Under Heteroskedasticity and Leveraged Data
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• Theory and computational tool for interval estimation in linear regressions under heteroscedasticity of unknown form using double bootstrap methods
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model

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Uses Software

• Ox

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