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

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)

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
The Sample Selection Model from a Method of Moments Perspective
The main contributions of robust statistics to statistical science and a new challenge
Cointegration tests with conditional heteroskedasticity.
The econometrics of mean‐variance efficiency tests: a survey
Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
Cluster-robust estimators for multivariate mixed-effects meta-regression
A nonparametric measure of heteroskedasticity
Empirical distribution function under heteroscedasticity
Statistical Adequacy and the Testing of Trend Versus Difference Stationarity
Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
Glejser's test revisited
ECONOMETRIC THEORY, by James Davidson, Blackwell Publishers, 2000
Inference in linear regression models with many covariates and heteroscedasticity
Truncated estimator of asymptotic covariance matrix in partially linear models with heteroscedastic errors
Quick estimation of tourist nights spent in Italy
Nonparametric regression with rescaled time series errors
Cointegration in a historical perspective
A low-dimension portmanteau test for non-linearity
Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form
Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
Shrinkage and LASSO strategies in high-dimensional heteroscedastic models
A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity
A resampling method for regression models with serially correlated errors
Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
Testing for conditional heteroskedasticity with misspecified alternative hypotheses
Semi-strong linearity testing in linear models with dependent but uncorrelated errors
M-estimator based unit root tests in the ESTAR framework
Testing for association on the X chromosome
A note on linear heteroscedasticity models
Money announcements and the risk premium
The jackknife and heteroskedasticity: consistent variance estimation for regression models
On the calculation of the information matrix test in the normal linear regression model
The use of GARCH models in VaR estimation
Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
Least absolute error estimation in the presence of serial correlation
Unpredictability in economic analysis, econometric modeling and forecasting
On testing a subset of regression parameters under heteroskedasticity
The estimation of complete aggregation structures
The Asian financial crisis and investors' risk aversion
A robust effect size index
Granger causality test in the presence of spillover effects
A reply to Professors Maasoumi and Phillips
Monte Carlo power comparison of seven most commonly used heteroscedasticity tests
Robust methods for heteroskedastic regression
An extension of a standard test for heteroskedasticity to a systems framework
Estimating covariances of parameter estimates from different models
Determinants of S\&P 500 index option returns
Testing inference in heteroskedastic fixed effects models
A sequence of improved standard errors under heteroskedasticity of unknown form
A surprise-quiz view of learning in economic experiments
Unit root testing based on BLUS residuals
Cluster randomized trials: considerations for design and analysis
Innovation and employment: Evidence from Italian microdata
A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms
Testing inference in inflated beta regressions under model misspecification
Combining the virtues of stochastic frontier and data envelopment analysis
Causality tests and conditional heteroskedasticity: Monte Carlo evidence
Multiple capital inputs, \(Q\), and investment spending
Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
Estimation of multivariate non-linear time series models
Spurious Regressions with Time-Series Data: Further Asymptotic Results
The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
Conditional variance model checking
Misspecification testing: non-invariance of expectations models of inflation
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
Dualism and cross-country growth regressions
The impact of managerial and organizational aspects on hospital wards' efficiency: Evidence from a case study
Robust tests for the equality of variances for clustered data
Partially generalized least squares and two-stage least squares estimators
Asymptotic properties and variance estimators of the M-quantile regression coefficients estimators
A comparison of mean-variance efficiency tests
The value of a statistical life: A comparison of two approaches
Heteroskedasticity-robust inference in linear regressions
Testing for \(r\) versus \(r-1\) cointegrating vectors
Two-step two-stage least squares estimation in models with rational expectations
The empirics of economic growth for OECD countries: Some new findings
A contribution to the theory and empirics of Schumpeterian growth with worldwide interactions
An analogue model of phase-averaging procedures
On idiosyncratic stochasticity of financial leverage effects
Does uncertainty influence the number of firms in an industry?
Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
Wage dispersion, returns to skill, and black-white wage differentials
Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
Consistent estimation for some nonlinear errors-in-variables models
Inference in partially identified heteroskedastic simultaneous equations models
Pearson residual and efficiency of parameter estimates in generalized linear model
Generic consistency of the break-point estimators under specification errors in a multiple-break model
Estimation of long-range dependence in gappy Gaussian time series
Tolerance intervals in a heteroscedastic linear regression context with applications to aerospace equipment surveillance
Simulated latent variable estimation of models with ordered categorical data
Rapid penalized likelihood-based outlier detection via heteroskedasticity test
Testing the information matrix equality with robust estimators
The asymptotic covariance matrix of the QMLE in ARMA models
Testing heteroscedasticity in nonlinear and nonparametric regressions
An analysis of the flexibility of asymmetric power GARCH models
Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Testing for structural breaks in dynamic factor models

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