Second order approximation in a linear regression with heteroskedasticity of unknown form
نویسندگان
چکیده
منابع مشابه
Asymptotic inference under heteroskedasticity of unknown form
We focus on the -nite-sample behavior of heteroskedasticity-consistent covariance matrix estimators and associated quasi-t tests. The estimator most commonly used is that proposed by Halbert White. Its -nite-sample behavior under both homoskedasticity and heteroskedasticity is analyzed using Monte Carlo methods. We also consider two other consistent estimators, namely: the HC3 estimator, which ...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 1996
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474939608800336