A Class of Improved Heteroskedasticity-Consistent Covariance Matrix Estimators
نویسندگان
چکیده
منابع مشابه
Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties
We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley (1977) and White (1980). On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine finite-sample properties using modified critical valu...
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HAC estimators are known to produce test statistics that reject too frequently in finite samples. One neglected reason comes from using the OLS residuals when constructing the HAC estimator. If the regression matrix contains high leverage points, such as from outliers, then the OLS residuals will be negatively biased. This reduces the variance of the OLS residuals and the HAC estimator takes th...
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 2003
ISSN: 0361-0926,1532-415X
DOI: 10.1081/sta-120023261