Heteroskedasticity-Consistent Covariance Matrix Estimators in Small Samples with High Leverage Points
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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ژورنال
عنوان ژورنال: Theoretical Economics Letters
سال: 2016
ISSN: 2162-2078,2162-2086
DOI: 10.4236/tel.2016.64071