IDEAS home Printed from https://ideas.repec.org/a/spr/aistmt/v62y2010i6p1053-1082.html
   My bibliography  Save this article

Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form

Author

Listed:

Abstract

No abstract is available for this item.

Suggested Citation

  • Francisco Cribari-Neto & Maria Lima, 2010. "Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(6), pages 1053-1082, December.
    • Handle: RePEc:spr:aistmt:v:62:y:2010:i:6:p:1053-1082
    DOI: 10.1007/s10463-008-0201-5
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10463-008-0201-5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10463-008-0201-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cribari-Neto, Francisco, 2004. "Asymptotic inference under heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 215-233, March.
    2. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.
    3. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August.
    4. F. Cribari-Neto & S. G. Zarkos, 1999. "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing," Econometric Reviews, Taylor & Francis Journals, vol. 18(2), pages 211-228.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    7. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-1222, September.
    8. MacKinnon, James G. & White, Halbert, 1985. "Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties," Journal of Econometrics, Elsevier, vol. 29(3), pages 305-325, September.
    9. Ferrari, Silvia L. P. & Cribari-Neto, Francisco, 1998. "On bootstrap and analytical bias corrections," Economics Letters, Elsevier, vol. 58(1), pages 7-15, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
    2. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
    3. Jianghao Chu & Tae-Hwy Lee & Aman Ullah & Haifeng Xu, 2020. "Exact Distribution of the F-statistic under Heteroskedasticity of Unknown Form for Improved Inference," Working Papers 202027, University of California at Riverside, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Francisco Cribari-Neto & Maria da Gloria Lima, 2010. "Approximate inference in heteroskedastic regressions: A numerical evaluation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(4), pages 591-615.
    2. James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
    3. José Curto & José Pinto & Ana Morais & Isabel Lourenço, 2011. "The heteroskedasticity-consistent covariance estimator in accounting," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 427-449, November.
    4. Emmanuel Flachaire, 2002. "Bootstrapping heteroskedasticity consistent covariance matrix estimator," Computational Statistics, Springer, vol. 17(4), pages 501-506, December.
    5. Pötscher, Benedikt M. & Preinerstorfer, David, 2023. "How Reliable Are Bootstrap-Based Heteroskedasticity Robust Tests?," Econometric Theory, Cambridge University Press, vol. 39(4), pages 789-847, August.
    6. Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
    7. Godfrey, L.G., 2006. "Tests for regression models with heteroskedasticity of unknown form," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2715-2733, June.
    8. Michael O'Hara & Christopher F. Parmeter, 2013. "Nonparametric Generalized Least Squares in Applied Regression Analysis," Pacific Economic Review, Wiley Blackwell, vol. 18(4), pages 456-474, October.
    9. Francisco Cribari-Neto & Wilton Silva, 2011. "A new heteroskedasticity-consistent covariance matrix estimator for the linear regression model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 129-146, June.
    10. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
    11. Hartigan, Luke, 2018. "Alternative HAC covariance matrix estimators with improved finite sample properties," Computational Statistics & Data Analysis, Elsevier, vol. 119(C), pages 55-73.
    12. Sin, C.Y. (Chor-yiu) & Lee, Cheng-Few, 2021. "Using heteroscedasticity-non-consistent or heteroscedasticity-consistent variances in linear regression," Econometrics and Statistics, Elsevier, vol. 18(C), pages 117-142.
    13. Davidson, Russell & Flachaire, Emmanuel, 2008. "The wild bootstrap, tamed at last," Journal of Econometrics, Elsevier, vol. 146(1), pages 162-169, September.
    14. Katarzyna Jabłońska, 2018. "Dealing With Heteroskedasticity Within The Modeling Of The Quality Of Life Of Older People," Statistics in Transition New Series, Polish Statistical Association, vol. 19(3), pages 423-452, September.
    15. Cheng, Tsung-Chi, 2012. "On simultaneously identifying outliers and heteroscedasticity without specific form," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2258-2272.
    16. Pötscher, Benedikt M. & Preinerstorfer, David, 2021. "Valid Heteroskedasticity Robust Testing," MPRA Paper 107420, University Library of Munich, Germany.
    17. Cyrus J. DiCiccio & Joseph P. Romano & Michael Wolf, 2016. "Improving weighted least squares inference," ECON - Working Papers 232, Department of Economics - University of Zurich, revised Nov 2017.
    18. José Murteira & Esmeralda Ramalho & Joaquim Ramalho, 2013. "Heteroskedasticity testing through a comparison of Wald statistics," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 131-160, August.
    19. Hausman, Jerry & Palmer, Christopher, 2012. "Heteroskedasticity-robust inference in finite samples," Economics Letters, Elsevier, vol. 116(2), pages 232-235.
    20. Kenneth W. Clements & H. Y. Izan & Yihui Lan, 2009. "A Stochastic Measure of International Competitiveness," International Review of Finance, International Review of Finance Ltd., vol. 9(1‐2), pages 51-81, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:aistmt:v:62:y:2010:i:6:p:1053-1082. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.