Improved heteroscedasticity-consistent covariance matrix estimators

DOI10.1093/biomet/87.4.907zbMath1028.62044OpenAlexW2004589570MaRDI QIDQ2739339

Gauss M. Cordeiro, Francisco Cribari-Neto, Silvia L. P. Ferrari

Publication date: 27 January 2004

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/87.4.907

zbMATH Keywords

heteroscedasticitybias correctioncovariance matrix estimationWhite's estimator

Mathematics Subject Classification ID

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

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