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)

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
Qualitative threshold ARCH models
Stochastic production frontiers and panel data: A latent variable framework
Agnostic notes on regression adjustments to experimental data: reexamining Freedman's critique
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
Causal inference: a missing data perspective
A Covariance Estimator for GEE with Improved Small‐Sample Properties
Information ratio test for model misspecification in quasi-likelihood inference
Asymptotic efficiency in estimation with conditional moment restrictions
Heteroscedasticity and Autocorrelation Robust Structural Change Detection
Some results on the Glejser and Koenker tests for heteroskedasticity
Approximate inference in heteroskedastic regressions: a numerical evaluation
A better way to bootstrap pairs.
Estimating the Hurst parameter in financial time series via heuristic approaches
Dynamic Asymmetric Leverage in Stochastic Volatility Models
Tobit models: A survey
Two-step estimation of heteroskedastic sample selection models
Uniformly valid confidence intervals post-model-selection
On equivalencies between design-based and regression-based variance estimators for randomized experiments
Bootstrap variance estimation with survey data when estimating model parameters
Robust heteroskedasticity-robust tests
A natural robustification of the ordinary instrumental variables estimator
Controlling the finite sample significance levels of heteroskedasticity-robust tests of several linear restrictions on regression coefficients
Testing overidentifying restrictions with many instruments and heteroskedasticity
Is regression adjustment supported by the Neyman model for causal inference?
The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
Misspecified skedastic functions in grouped-data models
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
Testing for two-regime threshold cointegration in vector error-correction models.
Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
On size and power of heteroskedasticity and autocorrelation robust tests
Heteroskedasticity-consistent interval estimators
Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
Model-assisted inference for treatment effects using regularized calibrated estimation with high-dimensional data
Efficient estimation with grouped data
Leverage-adjusted heteroskedastic bootstrap methods
Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator
Testing inference in variable dispersion beta regressions
Decomposing Treatment Effect Variation
GMM estimation with cross sectional dependence
Implementing a class of structural change tests: an econometric computing approach
Inference Under Heteroskedasticity and Leveraged Data
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test
A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model
Asymptotic inference under heteroskedasticity of unknown form
New tests of heteroskedasticity in linear regression model
skedastic
A consistent test of functional form via nonparametric estimation techniques
Profiling heteroscedasticity in linear regression models
Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
The wild bootstrap, tamed at last
Smoothly mixing regressions
Asymptotic properties of a robust variance matrix estimator for panel data when \(T\) is large
GMM estimation of spatial autoregressive models with unknown heteroskedasticity
Robust functional principal component analysis for non-Gaussian longitudinal data
Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Least absolute deviations estimation for the censored regression model
A study of several new and existing tests for heteroscedasticity in the general linear model
How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
Multivariate regression models for panel data
Significance testing in non-sparse high-dimensional linear models
An extended Gaussian max-stable process model for spatial extremes
More Efficient Tests Robust to Heteroskedasticity of Unknown Form
High-dimensional simultaneous inference with the bootstrap
Resurrecting weighted least squares
Testing strategies for model specification
Generalized reduced rank tests using the singular value decomposition
A statistical assessment of Buchanan's vote in Palm Beach county
Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
Testing for GARCH effects: A one-sided approach
Testing parameter constancy in linear models against stochastic stationary parameters
Inference functions and quadratic score tests
Residual analysis in the grouped and censored normal linear model
Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
On the robustness of the F-test to autocorrelation among disturbances
On theory testing in econometrics. Modeling with nonexperimental data
Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
Model specification tests. A simultaneous approach
Econometric inflation targeting
In-sample tests of predictive ability: a new approach
Estimation and specification testing in female labor participation models: parametric and semiparametric methods
Autocorrelation- and heteroskedasticity-consistent \(t\)-values with trending data
Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap
Empirical smoothing lack-of-fit tests for variance function
Assessing the Adequacy of Variance Function in Heteroscedastic Regression Models
Effect of covariate omission in Weibull accelerated failure time model: a caution
Robustifying multivariate trend tests to nonstationary volatility
Estimation of limited dependent variable models by ordinary least squares and the method of moments
Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
The origin of spatial interaction
Evaluating latent and observed factors in macroeconomics and finance
Heteroskedasticity-robust inference in finite samples
Inference about clustering and parametric assumptions in covariance matrix estimation

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