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Journal of Statistical Computation and Simulation Volume 54, 1996 - Issue 1-3
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Original Articles

Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator

Marilena Furno Università di Pavia, Marilena Furno, Parco Carelli 7, Napoli, 80123, Italia
Pages 115-128 | Received 25 Jan 1995, Published online: 20 Mar 2007

Citations (10)

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Read on this site (3)

Eric S. Lin & Ta-Sheng Chou. (2018) Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form. Econometric Reviews 37:1, pages 1-28.
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VerônicaM. C. Lima, TatieneC. Souza, Francisco Cribari-Neto & GilênioB. Fernandes. (2009) Heteroskedasticity-Robust Inference in Linear Regressions. Communications in Statistics - Simulation and Computation 39:1, pages 194-206.
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Marilena Furno. (1997) A Robust Heteroskedasticity Consistent Covariance Matrix Estimator. Statistics 30:3, pages 201-219.
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Articles from other publishers (7)

Adamu Adamu Muhammad & Sohel Rana. Robust inference in the presence of heteroscedasticity and high leverage points. Robust inference in the presence of heteroscedasticity and high leverage points.
M. Habshah, Muhammad Sani & Jayanthi Arasan. (2018) Robust Heteroscedasticity Consistent Covariance Matrix Estimator based on Robust Mahalanobis Distance and Diagnostic Robust Generalized Potential Weighting Methods in Linear Regression. Journal of Modern Applied Statistical Methods 17:1.
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Esra Şimşek & Mehmet Orhan. (2016) Heteroskedasticity-Consistent Covariance Matrix Estimators in Small Samples with High Leverage Points. Theoretical Economics Letters 06:04, pages 658-677.
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Francisco Cribari-Neto & Maria da Glória A. Lima. (2014) New heteroskedasticity-robust standard errors for the linear regression model. Brazilian Journal of Probability and Statistics 28:1.
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James G. MacKinnon. 2013. Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis. Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis 437 461 .
Ian R. Cleasby & Shinichi Nakagawa. (2011) Neglected biological patterns in the residuals. Behavioral Ecology and Sociobiology 65:12, pages 2361-2372.
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Andrew F. Hayes & Li Cai. (2007) Using heteroskedasticity-consistent standard error estimators in OLS regression: An introduction and software implementation. Behavior Research Methods 39:4, pages 709-722.
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