Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
DOI10.1080/00949650410001729427zbMATH Open1075.62046OpenAlexW2036131412WikidataQ57496568 ScholiaQ57496568MaRDI QIDQ5697315FDOQ5697315
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
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heteroskedasticitycovariance matrix estimationnumerical integrationquasi-\(t\) testbias correctionleverage points
Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Numerical integration (65D30)
Cites Work
- Algorithm AS 256: The Distribution of a Quadratic Form in Normal Variables
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Improved heteroscedasticity-consistent covariance matrix estimators
- Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap∗
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Estimating Heteroscedastic Variances in Linear Models
- Jackknifing in Unbalanced Situations
- Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
- A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
- Title not available (Why is that?)
- Title not available (Why is that?)
- Miscellanea. Saddlepoint approximations for distributions of quadratic forms in normal variables
Cited In (5)
- Heteroskedasticity-consistent interval estimators
- Inference under heteroscedasticity of unknown form using an adaptive estimator
- Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
- Efficient estimation and robust inference of linear regression models in the presence of heteroscedastic errors and high leverage points
- Testing inference in heteroskedastic fixed effects models
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