Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference
Author:
Affiliation:
1. Department of Economics, University of California, Riverside, CA, USA
2. Department of Statistics, School of Economics and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen, Fujian, People's Republic of China
Funder
National Natural Science Foundation of China
Natural Science Foundation of Fujian Province
the UCR Academic Senate for research funds
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/00949655.2020.1871480
Reference29 articles.
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3. Jackknifing in Unbalanced Situations
4. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
5. Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
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