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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Queen's Economics Department Working Paper ; No. 537
- Classification
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Hypothesis Testing: General
- Subject
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Jackknife
Heteroskedasticity
HCCME
Edgeworth approximations
- Event
-
Geistige Schöpfung
- (who)
-
MacKinnon, James G.
White, Halbert
- Event
-
Veröffentlichung
- (who)
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Queen's University, Department of Economics
- (where)
-
Kingston (Ontario)
- (when)
-
1983
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- MacKinnon, James G.
- White, Halbert
- Queen's University, Department of Economics
Time of origin
- 1983
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