Approximate inference in heteroskedastic regressions: A numerical evaluation

References

• Chesher , A. and Jewitt , I. 1987 . The bias of a heteroskedasticity consistent covariance matrix estimator . Econometrica , 55 : 1217 – 1222 .
   Web of Science ®Google Scholar
• Cribari-Neto , F. 2004 . Asymptotic inference under heteroskedasticity of unknown form . Comput. Stat. Data Anal. , 45 : 215 – 233 .
   Web of Science ®Google Scholar
• Cribari-Neto , F. and Lima , M. G.A. 2009 . Heteroskedasticity-consistent interval estimators . J. Statist. Comput. Simul. , 79 : 787 – 803 .
   Web of Science ®Google Scholar
• Cribari-Neto , F. and Zarkos , S. G. 1999 . Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing . Econometric Rev. , 18 : 211 – 228 .
   Google Scholar
• Cribari-Neto , F. and Zarkos , S. G. 2001 . Heteroskedasticity-consistent covariance matrix estimation: White's estimator and the bootstrap . J. Statist. Comput. Simul. , 68 : 391 – 411 .
   Web of Science ®Google Scholar
• Cribari-Neto , F. and Zarkos , S. G. 2003 . Econometric and statistical computing using Ox . Comput. Econom. , 21 : 277 – 295 .
   Google Scholar
• Cribari-Neto , F. , Ferrari , S. L.P. and Cordeiro , G. M. 2000 . Improved heteroskedasticity-consistent covariance matrix estimators . Biometrika , 87 : 907 – 918 .
   Web of Science ®Google Scholar
• Cribari-Neto , F. , Souza , T. C. and Vasconcellos , K. L.P. 2007 . Inference under heteroskedasticity and leveraged data . Commun. and Stat. Theory Methods , 36 : 1877 – 1888 . Errata: 37 (2008), pp. 3329–3330
   Web of Science ®Google Scholar
• Davidson , R. and MacKinnon , J. G. Heteroskedasticity-robust test in regression directions Working Paper 616, Economics Department, Queen's University, 1985
   Google Scholar
• Davidson , R. and MacKinnon , J. G. 1993 . Estimation and Inference in Econometrics , New York : Oxford University Press .
   Google Scholar
• Davidson , R. and MacKinnon , J. G. 2004 . Econometric Theory and Methods , New York : Oxford University Press .
   Google Scholar
• Doornik , J. A. 2006 . An Object-oriented Matrix Programming Language – Ox 4 , London : Timberlake Consultants . Available at http://www.doornik.com
   Google Scholar
• Farebrother , R. W. 1990 . The distribution of a quadratic form in normal variables . Appl. Stat. , 39 : 294 – 309 .
   Web of Science ®Google Scholar
• Greene , W. H. 1997 . Econometric Analysis , Upper Saddle River : Prentice Hall .
   Google Scholar
• Hinkley , D. V. 1977 . Jackknifing in unbalanced situations . Technometrics , 19 : 285 – 292 .
   Web of Science ®Google Scholar
• Horn , S. D. , Horn , R. A. and Duncan , D. B. 1975 . Estimating heteroskedastic variances in linear models . J. Am. Statist. Assoc. , 70 : 380 – 385 .
   Web of Science ®Google Scholar
• Imhof , J. P. 1961 . Computing the distribution of quadratic forms in normal variables . Biometrika , 48 : 419 – 426 .
   Web of Science ®Google Scholar
• Long , J. S. and Ervin , L. H. 2000 . Using heteroskedasticity-consistent standard errors in the linear regression model . Am. Statist. , 54 : 217 – 224 .
   Web of Science ®Google Scholar
• MacKinnon , J. G. and White , H. 1985 . Some heteroskedasticity-consistent covariance matrix estimators with improved finite-sample properties . J. Econometrics , 29 : 305 – 325 .
   Web of Science ®Google Scholar
• Qian , L. and Wang , S. 2001 . Bias-corrected heteroscedasticity robust covariance matrix (sandwich) estimators . J. Statist. Comput. Simul. , 70 : 161 – 174 .
   Web of Science ®Google Scholar
• White , H. 1980 . A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity . Econometrica , 48 : 817 – 838 .
   Web of Science ®Google Scholar
• Wooldridge , J. M. 2000 . Introductory Econometrics: a Modern Approach , Cincinnati : South-Western College Publishing .
   Google Scholar