A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

DOI10.1080/02331889708802610zbMATH Open0915.62018OpenAlexW2062914304MaRDI QIDQ4375875FDOQ4375875

Authors: Marilena Furno 

Publication date: 30 June 1999

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331889708802610

Recommendations

• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Asymptotic inference under heteroskedasticity of unknown form
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗

zbMATH Keywords

outliersheteroskedasticitycovariance matrix estimatorrobust estimators

Mathematics Subject Classification ID

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

Cites Work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Robust estimation in heteroscedastic linear models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Jackknifing in Unbalanced Situations

Cited In (26)

• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
• Empirical distribution function under heteroscedasticity
• On simultaneously identifying outliers and heteroscedasticity without specific form
• Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context
• Title not available (Why is that?)
• VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity
• Improved heteroscedasticity-consistent covariance matrix estimators
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Inference Under Heteroskedasticity and Leveraged Data
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Asymptotic inference under heteroskedasticity of unknown form
• Robust methods for heteroskedastic regression
• Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form

This page was built for publication: A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4375875)