A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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Publication:90747
DOI10.2307/1912934zbMath0459.62051OpenAlexW2108818539WikidataQ55879648 ScholiaQ55879648MaRDI QIDQ90747
Publication date: May 1980
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1912934
Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Nonparametric estimation (62G05)
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that have some specified simultaneous probability coverage, Numerical evaluation of tests based on different heteroskedasticity-consistent covariance matrix estimators, Dynamic Asymmetric Leverage in Stochastic Volatility Models, A STATE‐LEVEL ANALYSIS OF BUSINESS CYCLE ASYMMETRY, Logistic Regression for Prospectivity Modeling, Optimal Design Robust to a Misspecified Model, An Economic Analysis of Life Insurance Company Expenses, WELFARE GAINS FROM STABILIZATION IN A STOCHASTICALLY GROWING ECONOMY WITH IDIOSYNCRATIC SHOCKS AND FLEXIBLE LABOR SUPPLY, Information Ratio Test for Model Misspecification in Quasi-Likelihood Inference, Bootstrapping the Hausman Test in Panel Data Models, Testing inference in variable dispersion beta regressions, Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non‐stationary Volatility, Robust m-estimators, On inference in the presence of heteroskedasticity without replicated observations, The Finite-Sample Performance of White's Test for Heteroskedasticity Under Stochastic Regressors, Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity, ROBUST ASYMPTOTIC INFERENCE IN AUTOREGRESSIVE MODELS WITH MARTINGALE DIFFERENCE ERRORS, Small Sample Properties of Frequency Domain Estimators for the Fractional Model, News, volatility and jumps: the case of natural gas futures, Testing heteroscedasticity in nonlinear and nonparametric regressions, Improved inference for the panel data model with unknown unit-specific heteroscedasticity: A Monte Carlo evidence, Assessing the Adequacy of Variance Function in Heteroscedastic Regression Models, VOLATILITY SPILLOVER EFFECT ON NONLINEAR CAUSALITY TESTS, A new heteroskedasticity-consistent covariance matrix estimator and inference under heteroskedasticity, Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation, More Efficient Tests Robust to Heteroskedasticity of Unknown Form, A robust test for autocorrelation in the presence of a structural break in variance, Quantile regression in longitudinal studies with dropouts and measurement errors, Inference for Misspecified Models With Fixed Regressors, Estimating acute air pollution health effects from cohort study data, X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION, The Effect of Non Independence of Explanatory Variables and Error Term and Heteroskedasticity in Stochastic Regression Models, TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS, Heteroscedastic Global Tests that the Regression Parameters for Two or More Independent Groups are Identical, A modified confidence set for the structural break date in linear regression models, GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity, Standard Errors for Nonparametric Regression, Model averaging in a multiplicative heteroscedastic model, Inference Under Heteroskedasticity and Leveraged Data, Efficient Penalized Estimation for Linear Regression Model, Unnamed Item
