Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
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Publication:2780871
DOI10.1080/00949650108812114zbMath1137.62340MaRDI QIDQ2780871
Publication date: 14 March 2002
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949650108812114
Cites Work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Adapting for heteroscedasticity in linear models
- Robust estimation in heteroscedastic linear models
- More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Least Squares Estimation when the Covariance Matrix and Parameter Vector are Functionally Related
- Jackknifing in Unbalanced Situations
- A Robust Heteroskedasticity Consistent Covariance Matrix Estimator
- Second order approximation in a linear regression with heteroskedasticity of unknown form