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Communications in Statistics - Simulation and Computation Volume 19, 1990 - Issue 2
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Original Articles

On inference in the presence of heteroskedasticity without replicated observations

Walter Sudmant Department of Budget, Planning and Systems Management, University of British Columbia, Vancouver, B.C, V6T 1W5, Canada
&
Peter Kennedy Department of Economics, Simon Fraser University, Burnaby, B.C, V5A 1S6, Canada
Pages 491-504 | Received 01 Mar 1989, Published online: 24 Oct 2007

References

  • Chcsher , A. and Jewitt , I. 1987 . The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator . Econometrica , 55 : 1217 – 1222 .
  • Deaton , M.L. , Reynolds , M.R. and Myers , R.H. 1983 . Estimation and Hypothesis Testing in Regression in the Presence of Nonhomogeneous Error Variances . Communications in Statistics, Simulation and Computation2 , 12 : 45 – 66 .
  • Goldfeld , S.M. and Quandt , R.E. 1972 . Non-linear Methods in Econometrics , Amsterdam : North-Holland .
  • Harvey , A.C. 1976 . Estimating Regression Models with Multiplicative Heteroscedasticity . Econometrica , 44 : 461 – 465 .
  • Judge , G.G. , Griffths , W.E. , Hill , R.C. , Lutkephol , H. and Lee , T.C. 1985 . The Theory and Practice of Econometrics , New York : Wiley .
  • Kennedy , P.E. 1985a . A Suggestion for Measuring Heteroskedasticity . Communications in Statistics, Simulation and Computationa , 14 : 845 – 851 .
  • Kennedy , P.E. 1985b . A Rule of Thumb for Mixed Heteroskedasticity . Economics Letters , 18 : 157 – 159 .
  • Kleijnen , J.P.C. , Cremers , P. and van Belle , F. 1985 . The Power of Weighted and Ordinary Least Squares with Estimated Unequal Variances in Experimental Design . Communications in Statistics, Simulation and Computation , 14 : 85 – 102 .
  • Mac Kinnon , J.G. and White , H. 1985 . Some Heteroskedasticity-Consistent Covariance Matrix Estimators with Improved Finite Sample Properties . Journal of Econometrics , 29 : 305 – 325 .
  • Nozari , A. 1984 . Generalized and Ordinary Least Squares with Estimated and Unequal Variances . Communications in Statistics, Simulation and Computation , 13 : 521 – 537 .
  • White , H. 1980 . A Heteroskedasticity-consistent Covariance Matrix and a Direct Test for Heteroskedasticity . Econometrica , 48 : 817 – 838 .

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