A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

DOI10.2307/1912934MaRDI QIDQ90747zbMATH OpenOpenAlexWikidataFDO

Authors Halbert White, Halbert White

Publication date May 1980

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912934

zbMATH Keywords

heteroskedasticityconsistent estimatorcovariance matrix estimatorordinary least squares

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cited in

(only showing first 100 items - show all)

• Model Averaging for Nonlinear Regression Models
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• The Use of Multivariate Generated Regressors in the Presence of Heteroskedasticity
• Comment on “Statistical Adequacy and the Testing of Trend Versus Difference Stationarity” by Andreou and Spanos (Number 3)
• New heteroskedasticity-robust standard errors for the linear regression model
• On the robustness of the F-test to autocorrelation among disturbances
• Varying coefficient models revisited: an econometric view
• The main contributions of robust statistics to statistical science and a new challenge
• Fiscal decentralization, central bank independence, and inflation
• A paradox from randomization-based causal inference
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Tests for regression models with heteroskedasticity of unknown form
• The impact of quantitative and qualitative easing on term structure: evidence from micro-level data
• Regression based reserving models and partial information
• Qualitative threshold ARCH models
• Efficient penalized estimation for linear regression model
• Cointegration tests with conditional heteroskedasticity.
• A bootstrap study of variance estimation under heteroscedasticity using genetic algorithm
• Inflation and Central Bank independence revisited
• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
• Conditional predictive inference for stable algorithms
• On theory testing in econometrics. Modeling with nonexperimental data
• Stabilizing heteroscedasticity for butterfly-distributed residuals by the weighting absolute centered external variable
• The Sample Selection Model from a Method of Moments Perspective
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Model specification tests. A simultaneous approach
• A weight Jackknife approach utilizing linear model based-estimators for clustered data
• Dynamic partial correlation models
• Do emerging markets with consistent returns have better future performance?
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
• Combining the virtues of stochastic frontier and data envelopment analysis
• Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
• Multiple capital inputs, \(Q\), and investment spending
• An alternative method correcting BDR type of heteroskedasticity by the weighting re-estimated absolute residuals
• Design-Based Ratio Estimators and Central Limit Theorems for Clustered, Blocked RCTs
• Stochastic production frontiers and panel data: A latent variable framework
• A neuro-structural framework for bankruptcy prediction
• The power of tests of predictive ability in the presence of structural breaks
• Estimating the returns to community college schooling for displaced workers
• Combining estimators to improve structural model estimation and inference under quadratic loss
• Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators
• Agnostic notes on regression adjustments to experimental data: reexamining Freedman's critique
• A Covariance Estimator for GEE with Improved Small‐Sample Properties
• Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
• The econometrics of mean‐variance efficiency tests: a survey
• Causal inference: a missing data perspective
• Econometric inflation targeting
• A nonparametric measure of heteroskedasticity
• The impact of institutional shareholdings on price limits
• In-sample tests of predictive ability: a new approach
• Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
• Asymptotic efficiency in estimation with conditional moment restrictions
• Estimation of multivariate non-linear time series models
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence
• On some heteroskedasticity-robust estimators of variance-covariance matrix of the least-squares estimators
• The impact of tourist destination on hotel efficiency: a data envelopment analysis approach
• Accurate confidence and Bayesian interval estimation for non-centrality parameters and effect size indices
• Cluster-robust estimators for multivariate mixed-effects meta-regression
• Information ratio test for model misspecification in quasi-likelihood inference
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• An improved lagrange multiplier test for heteroskedasticity
• The compass rose and random walk tests.
• Spurious Regressions with Time-Series Data: Further Asymptotic Results
• Estimation and inference of the vector autoregressive process under heteroscedasticity
• Some results on the Glejser and Koenker tests for heteroskedasticity
• Estimation in the presence of heteroskedasticity of unknown form: a Lasso-based approach
• Forbidden Knowledge and Specialized Training: A Versatile Solution for the Two Main Sources of Overfitting in Linear Regression
• Testing inference in heteroskedastic linear regressions: a comparison of two alternative approaches
• Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
• Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
• Covariate-adjusted Fisher randomization tests for the average treatment effect
• Measuring network systemic risk contributions: a leave-one-out approach
• A better way to bootstrap pairs.
• Estimation and specification testing in female labor participation models: parametric and semiparametric methods
• The power and robustness properties of tests for heteroskedasticity when the regressors are trended
• Heteroscedasticity and Autocorrelation Robust Structural Change Detection
• Bootstrapping structural change tests
• Conditional variance model checking
• On simultaneously identifying outliers and heteroscedasticity without specific form
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Application of the simultaneous least squares-probit Nelson-Olson covariance estimator for stratified surveys
• Bootstrapping stochastic regression models under homoskedasticity: wild bootstrapvs. pairs bootstrap
• Approximate inference in heteroskedastic regressions: a numerical evaluation
• On optimal block resampling for Gaussian-subordinated long-range dependent processes
• A robust permutation test for subvector inference in linear regressions
• Efficiency of iterated WLS in the linear model with completely unknown heteroskedasticity
• Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
• Empirical distribution function under heteroscedasticity
• Dualism and cross-country growth regressions
• Estimating the Hurst parameter in financial time series via heuristic approaches
• Heteroscedasticity-Robust Inference in Linear Regression Models With Many Covariates
• Misspecification testing: non-invariance of expectations models of inflation
• STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA
• UNIFORM-IN-SUBMODEL BOUNDS FOR LINEAR REGRESSION IN A MODEL-FREE FRAMEWORK
• Jackknifing type weighted least squares estimators in partially linear regression models.
• Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
• Tobit models: A survey
• Practical Review and Comparison of Modified Covariance Estimators for Linear Mixed Models in Small‐sample Longitudinal Studies with Missing Data
• A cointegration analysis of annual tourism demand by Malaysia for Australia
• The impact of managerial and organizational aspects on hospital wards' efficiency: Evidence from a case study

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