Heteroskedasticity-consistent interval estimators
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Recommendations
- Approximate inference in heteroskedastic regressions: a numerical evaluation
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- Estimation in the simple linear regression model when there is heteroscedasticity of unknown form
Cites work
- A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Asymptotic inference under heteroskedasticity of unknown form
- Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
- Bootstrap methods: another look at the jackknife
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
- Estimating Heteroscedastic Variances in Linear Models
- Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap∗
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 1898277 (Why is no real title available?)
- Improved heteroscedasticity-consistent covariance matrix estimators
- Jackknife, bootstrap and other resampling methods in regression analysis
- Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
- Regression modeling strategies. With applications to linear models, logistic regression and survival analysis
- Tests for regression models with heteroskedasticity of unknown form
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
Cited in
(17)- How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
- hcci
- Some improved estimators in the case of possible heteroscedasticity
- Regression discontinuity and heteroskedasticity robust standard errors: evidence from a fixed-bandwidth approximation
- SURE estimates under dependence and heteroscedasticity
- Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
- Inference under heteroscedasticity of unknown form using an adaptive estimator
- Single-stage interval estimation of the largest normal mean under heteroscedasnoty
- scientific article; zbMATH DE number 31672 (Why is no real title available?)
- Addressing the distributed lag models with heteroscedastic errors
- A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
- Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
- Approximate inference in heteroskedastic regressions: a numerical evaluation
- Improved inference for the panel data model with unknown unit-specific heteroscedasticity: a Monte Carlo evidence
- Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points
- Theory and computational tool for interval estimation in linear regressions under heteroscedasticity of unknown form using double bootstrap methods
- A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
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