Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
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: Journal of Econometrics
سال: 1985
ISSN: 0304-4076
DOI: 10.1016/0304-4076(85)90158-7