Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator

DOI10.1080/00949659608811723zbMath0883.62030OpenAlexW2068204407MaRDI QIDQ4355596

Marilena Furno

Publication date: 23 March 1998

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

Full work available at URL: https://doi.org/10.1080/00949659608811723

zbMATH Keywords

robustnessheteroskedasticity consistent covariance matrixrandom and systematic heteroskedasticity

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Heteroskedasticity-Robust Inference in Linear Regressions ⋮ New heteroskedasticity-robust standard errors for the linear regression model

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Robust Heteroskedasticity Consistent Covariance Matrix Estimator
• Robust, Smoothly Heterogeneous Variance Regression

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