On some heteroskedasticity-robust estimators of variance–covariance matrix of the least-squares estimators

Author:

Bera Anil K.,Suprayitno Totok,Premaratne Gamini

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference26 articles.

1. An Introduction to Multivariate Statistical Analysis;Anderson,1984

2. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

3. Bera, A.K., Suprayitno, T., Premaratne, G., 2000. On some heteroskedasticity-robust estimators of variance–covariance matrix of the least squares estimators. Office of Research Working Paper No. 00-0125, University of Illinois, College of Commerce and Business Administration.

4. The bias of a heteroskedasticity consistent covariance matrix estimator;Chesher;Econometrica,1987

5. Bootstrap methods for heteroskedastic regression models;Cribari-Neto;Econometric Rev.,1999

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