메뉴 건너뛰기
Journal of Statistical Computation and Simulation
Volumn 70, Issue 2, 2001, Pages 161-174
Bias-corrected heteroscedasticity robust covariance matrix (sandwich) estimators
Author keywords

Homoscedasticity; Linear regression; Variance estimation
Indexed keywords

EID: 0035605690     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650108812114     Document Type: Article
Times cited : (9)
References (13)
  • 1
    • 0000782631 scopus 로고
    • Adaptive for heteroscedasticity in linear models
    • Carroll, R. J. (1982) Adaptive for heteroscedasticity in linear models. Ann. Statist., 10, 1224-1233.
    • (1982) Ann. Statist. , vol.10 , pp. 1224-1233
    • Carroll, R.J.1
  • 2
    • 0000782628 scopus 로고
    • Robust estimation in heteroscedastic linear models
    • Carroll, R. J. and Ruppert, D. (1982) Robust estimation in heteroscedastic linear models. Ann. Statist., 10, 429-441.
    • (1982) Ann. Statist. , vol.10 , pp. 429-441
    • Carroll, R.J.1    Ruppert, D.2
  • 3
    • 0000451048 scopus 로고
    • The bias of a heteroskedasticity consistent covariance matrix estimator
    • Chesher, A. and Jewitt, I. (1987) The bias of a heteroskedasticity consistent covariance matrix estimator. Econometrica, 55, 1217-1222.
    • (1987) Econometrica , vol.55 , pp. 1217-1222
    • Chesher, A.1    Jewitt, I.2
  • 4
    • 0007068088 scopus 로고
    • Covariance matrix estimation in linear models
    • Chew, V. (1970) Covariance matrix estimation in linear models. J. Amer. Statist. Assoc., 65, 173-181.
    • (1970) J. Amer. Statist. Assoc. , vol.65 , pp. 173-181
    • Chew, V.1
  • 5
    • 0001236685 scopus 로고
    • More efficient estimation in the presence of heteroscedasticity of unknown form
    • Cragg, J. G. (1983) More efficient estimation in the presence of heteroscedasticity of unknown form. Econometrica, 51, 751-763.
    • (1983) Econometrica , vol.51 , pp. 751-763
    • Cragg, J.G.1
  • 6
    • 38249010291 scopus 로고
    • Quasi-Aitken estimation for heteroskedasticity of unknown form
    • Cragg, J. G. (1992) Quasi-Aitken estimation for heteroskedasticity of unknown form. J. Econometrics, 54, 179-201.
    • (1992) J. Econometrics , vol.54 , pp. 179-201
    • Cragg, J.G.1
  • 7
    • 3643099422 scopus 로고    scopus 로고
    • A robust heteroskedasticity consistent covariance matrix estimator
    • Furno, M. (1997) A robust heteroskedasticity consistent covariance matrix estimator. Statistics, 30, 201-219.
    • (1997) Statistics , vol.30 , pp. 201-219
    • Furno, M.1
  • 8
    • 84948493784 scopus 로고
    • Jackknifingin unbalanced situations
    • Hinkley, D. V. (1977) Jackknifingin unbalanced situations. Technometrics, 19, 285-292.
    • (1977) Technometrics , vol.19 , pp. 285-292
    • Hinkley, D.V.1
  • 9
    • 0001322838 scopus 로고
    • Least squares estimation when the covariance matrix and parameter vector are functionally related
    • Jobson, J. D. and Fuller, W. A. (1980) Least squares estimation when the covariance matrix and parameter vector are functionally related. J. Amer. Statist. Assoc., 75, 176-181.
    • (1980) J. Amer. Statist. Assoc. , vol.75 , pp. 176-181
    • Jobson, J.D.1    Fuller, W.A.2
  • 10
    • 0007073768 scopus 로고
    • Second order approximation in a linear regression with heteroskedasticity of unknown form
    • Linton, O. B. (1992) Second order approximation in a linear regression with heteroskedasticity of unknown form. Econometric Reviews, 15, 1-32.
    • (1992) Econometric Reviews , vol.15 , pp. 1-32
    • Linton, O.B.1
  • 11
    • 0000921289 scopus 로고
    • Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties
    • MacKinnon, J. G. and White, H. (1985) Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties. J. Econometrics, 29, 305-325.
    • (1985) J. Econometrics , vol.29 , pp. 305-325
    • MacKinnon, J.G.1    White, H.2
  • 12
    • 0001099716 scopus 로고
    • Estimation of heteroscedastic variance in linear models
    • Rao, C. R. (1970) Estimation of heteroscedastic variance in linear models. J. Amer. Statist. Assoc., 65, 161-172.
    • (1970) J. Amer. Statist. Assoc. , vol.65 , pp. 161-172
    • Rao, C.R.1
  • 13
    • 0000095552 scopus 로고
    • A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, H. (1980) A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48, 817-838.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.