Improved heteroscedasticity-consistent covariance matrix estimators

Biometrika

Volumn 87, Issue 4, 2000, Pages 907-918

  Cribari Neto, Francisco ^a   Ferrari, Silvia L P ^b   Cordeiro, Gauss M ^c  

^a FEDERAL UNIVERSITY OF PERNAMBUCO   (Brazil)

^b UNIVERSITY OF SÃO PAULO   (Brazil)

^c FEDERAL UNIVERSITY OF BAHIA   (Brazil)

Author keywords

Bias correction; Covariance matrix estimation; Heteroscedasticity; Linear regression; White's estimator

Indexed keywords

EID: 0011094274     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/87.4.907     Document Type: Article

References (11)

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