Heteroskedasticity-robust inference in finite samples
by Jerry A. Hausman
"Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansions of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity"--National Bureau of Economic Research web site.
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Heteroskedasticity-robust inference in finite samples
2011, National Bureau of Economic Research
Electronic resource
in English
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Title from PDF file as viewed on 2/21/2012.
Includes bibliographical references.
Also available in print.
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Mode of access: World Wide Web.
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| October 17, 2020 | Edited by MARC Bot | import existing book |
| February 29, 2012 | Created by LC Bot | import new book |