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Original Articles

Small sample behavior of a robust heteroskedasticity consistent covariance matrix estimator

Pages 115-128 | Received 25 Jan 1995, Published online: 20 Mar 2007

References

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  • Cragg , J.G. 1992 . Quasi-Aitken estimation for heteroskedasticity of unknown form . Journal of Econometrics , 54 : 179 – 201 .
  • Furno , M. 1995 . A robust heteroskedasticity consistent covariance matrix estimator mimeo
  • Hampel , F. . Optimally bounding gross-error-sensitivity and the influence of position in factor space . Proceedings American Statistical Association, Statistical Computing . pp. 59 – 64 .
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  • Mackinnon , J. and White , H. 1985 . Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties . Journal of Econometrics , 29 : 305 – 325 .
  • White , H. 1980 . A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity . Econometrica , 48 : 817 – 838 .

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