Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators

DOI10.1080/00949650410001729427MaRDI QIDQ5697315zbMATH OpenOpenAlexWikidataFDO

Authors Waldemar A. S. C. Oliveira, Francisco Cribari-Neto, Silvia L. P. Ferrari

Publication date 17 October 2005

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

Full work available at URL https://doi.org/10.1080/00949650410001729427

zbMATH Keywords

heteroskedasticitycovariance matrix estimationnumerical integrationquasi-\(t\) testbias correctionleverage points

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Numerical integration (65D30)

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• Inference Under Heteroskedasticity and Leveraged Data

Cites work

• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 3357817 (Why is no real title available?)
• A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
• Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
• Estimating Heteroscedastic Variances in Linear Models
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Improved heteroscedasticity-consistent covariance matrix estimators
• Jackknifing in Unbalanced Situations
• Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

Cited in

(5)

• Heteroskedasticity-consistent interval estimators
• Inference under heteroscedasticity of unknown form using an adaptive estimator
• Testing inference in heteroskedastic fixed effects models
• Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

Describes a project that uses

Uses Software

• Ox

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