Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
DOI10.1080/00949659608811723zbMATH Open0883.62030OpenAlexW2068204407MaRDI QIDQ4355596FDOQ4355596
Authors: 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
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Point estimation (62F10) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
Cited In (7)
- A Covariance Estimator for GEE with Improved Small‐Sample Properties
- On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
- Heteroskedasticity-robust inference in linear regressions
- Small - sample correction factor of the minimum covariance determinant estimator
- A Monte Carlo study of heteroscedasticity consistent covariance matrix estimator methods in linear regression models
- Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
- New heteroskedasticity-robust standard errors for the linear regression model
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