A Robust Heteroskedasticity Consistent Covariance Matrix Estimator

DOI10.1080/02331889708802610MaRDI QIDQ4375875zbMATH OpenOpenAlexFDO

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

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)

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^∗

Cites work

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

Cited in

(26)

• Robust methods for heteroskedastic regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Robust wild bootstrap for stabilizing the variance of parameter estimates in heteroscedastic regression models in the presence of outliers
• More Efficient Tests Robust to Heteroskedasticity of Unknown Form
• Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
• VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity
• Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
• Improved heteroscedasticity-consistent covariance matrix estimators
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• Bootstrapping heteroskedasticity consistent covariance matrix estimator
• Another heteroskedasticity- and autocorrelation-consistent covariance matrix estimator
• Inference Under Heteroskedasticity and Leveraged Data
• A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
• Asymptotic inference under heteroskedasticity of unknown form
• A Note on the Efficiency of Sandwich Covariance Matrix Estimation
• Empirical distribution function under heteroscedasticity
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• On simultaneously identifying outliers and heteroscedasticity without specific form
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• scientific article; zbMATH DE number 7133069 (Why is no real title available?)

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