Heteroskedasticity-robust inference in finite samples
نویسندگان
چکیده
منابع مشابه
Heteroskedasticity-robust inference in finite samples
Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier ndings that each of these adjusted estimators performs quite poorly in nite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansions of the test statistic distributi...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2012
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2012.02.007