Arbeitspapier
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 and White. 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 values based on Edgeworth approximations, as proposed by Rothenberg. In addition, we compare the power of several tests for heteroskedasticity and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen's Economics Department Working Paper ; No. 537
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Hypothesis Testing: General
- Thema
-
Jackknife
Heteroskedasticity
HCCME
Edgeworth approximations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
MacKinnon, James G.
White, Halbert
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
1983
- Handle
- Letzte Aktualisierung
-
10.03.0022, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- MacKinnon, James G.
- White, Halbert
- Queen's University, Department of Economics
Entstanden
- 1983
Ähnliche Objekte (12)
Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
Combining two consistent estimators
Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
Misspecified Heteroskedasticity in the Panel Probit Model : a Small Sample Comparison of GMM and SML Estimators [[Elektronische Ressource]]
Improved jive estimators for overidentified linear models with and without heteroskedasticity
Finite sample accuracy of integrated volatility estimators
Conditional Quantile Estimators: A Small Sample Theory
Finite sample analysis of profile M-estimators
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
A fast algorithm for the computation of HAC covariance matrix estimators
geessbin: an R package for analyzing small-sample binary data using modified generalized estimating equations with bias-adjusted covariance estimators
Ridge-type covariance and precision matrix estimators of the multivariate normal distribution
Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
Combining two consistent estimators
Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
Misspecified Heteroskedasticity in the Panel Probit Model : a Small Sample Comparison of GMM and SML Estimators [[Elektronische Ressource]]
Improved jive estimators for overidentified linear models with and without heteroskedasticity
Finite sample accuracy of integrated volatility estimators
Conditional Quantile Estimators: A Small Sample Theory
Finite sample analysis of profile M-estimators
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
A fast algorithm for the computation of HAC covariance matrix estimators
geessbin: an R package for analyzing small-sample binary data using modified generalized estimating equations with bias-adjusted covariance estimators
Ridge-type covariance and precision matrix estimators of the multivariate normal distribution
Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping
Combining two consistent estimators
Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
Misspecified Heteroskedasticity in the Panel Probit Model : a Small Sample Comparison of GMM and SML Estimators [[Elektronische Ressource]]
Improved jive estimators for overidentified linear models with and without heteroskedasticity
Finite sample accuracy of integrated volatility estimators
Conditional Quantile Estimators: A Small Sample Theory
Finite sample analysis of profile M-estimators
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
A fast algorithm for the computation of HAC covariance matrix estimators
geessbin: an R package for analyzing small-sample binary data using modified generalized estimating equations with bias-adjusted covariance estimators