Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap∗

DOI10.1080/00949650108812077zbMath0974.62048OpenAlexW1982716772MaRDI QIDQ2747234

Francisco Cribari-Neto, Spyros G. Zarkos

Publication date: 16 December 2001

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650108812077

zbMATH Keywords

bias correctionheteroskedasticitycovariance matrix estimationleverage pointsWhite estimator

Mathematics Subject Classification ID

Related Items (16)

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Uses Software

• Ox

Cites Work

• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Bootstrap methods: another look at the jackknife
• Approximate bias correction in econometrics
• Jackknife, bootstrap and other resampling methods in regression analysis
• Asymptotic Expansions of the Information Matrix Test Statistic
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Likelihood Ratio Specification Tests
• Recent developments in bootstrapping time series
• Bootstrapping time series models
• More Efficient Bootstrap Computations

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