Heteroskedasticity-consistent covariance matrix estimation: White's estimator and the bootstrap

Journal of Statistical Computation and Simulation

Volumn 68, Issue 4, 2001, Pages 391-411

  Cribari Neto, Francisco ^a   Zarkos, Spyros G ^b  

^a DEPARTAMENTO DE QUÍMICA FUNDAMENTAL   (Brazil)

^b BANK OF GREECE   (Greece)

Author keywords

Bias correction; Bootstrap; Covariance matrix estimation; Heteroskedasticity; Leverage points

Indexed keywords

EID: 0035648061     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/00949650108812077     Document Type: Article

References (19)

1. Berkowitz, J. and Kilian, L. (2000) Recent developments in bootstrapping time series, Econometric Reviews, 19, 1-48.
2. Chesher, A. and Jewitt, I. (1987) The bias of a heteroskedasticity consistent covariance matrix estimator, Econometrica, 55, 1217-1222.
3. Chesher, A. and Smith, R. J. (1997) Likelihood ratio specification tests, Econometrica, 65, 627-646.
4. Chesher, A. and Spady, R. H. (1991) Asymptotic expansions of the information matrix test, Econometrica, 59, 787-816.
5. Cribari-Neto, F. and Zarkos, S. G. (1999) Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing, Econometric Reviews, 18, 211-228.
6. Davidson, R. and MacKinnon, J. G. (1993) Estimation and Inference in Econometrics. New York: Oxford University Press.
7. Doornik, J. A. (1999) Object-oriented Matrix Programming Using Ox, 3rd edn., Kent: Timberlake Consultants and Oxford: http://www.nuff.ox.ac.uk/Users/Doornik/
8. Efron, B. (1979) Bootstrap methods: another look at the jackknife, Annals of Statistics, 7, 1-26.
9. Efron, B. (1990) More efficient bootstrap computations, Journal of the American Statistical Association, 85, 79-89.
10. Greene, W. H. (1997) Econometric Analysis, 3rd edn., Upper Saddle River: Prentice Hall.
11. Horowitz, J. L. (1997) Bootstrap methods in econometrics: theory and numerical performance. In: Kreps, D. M. and Wallis, K. F. Eds., Advances in Economics and Econometrics: Theory and Applications (Seventh World Congress), 3, 188-222. New York: Cambridge University Press.
12. Jeong, J. and Maddala, G. S. (1993) A perspective on application of bootstrap methods in econometrics. In: Maddala, G. S., Rao, C. R. and Vinod, H. D. Eds., Handbook of Statistics: Econometrics, 11, 573-610. Amsterdam: North-Holland.
13. Judge, G. C., Hill, R. C., Griffiths, W. E., Lutkepohl, H. and Lee, T.-C. (1988) Introduction to the Theory and Practice of Econometrics, 2nd edn., New York: Wiley.
14. Li, H. and Maddala, G. S. (1996) Bootstrapping time series models, Econometric Reviews, 15, 115-195.
15. MacKinnon, J. G. and Smith, A. A. Jr. (1998) Approximate bias correction in econometrics, Journal of Econometrics, 85, 205-230.
16. MacKinnon, J. G. and White, H. (1985) Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties, Journal of Econometrics, 29, 305-325.
17. Vinod, H. D. (1993) Bootstrap methods: applications in econometrics. In: Maddala, G. S., Rao, C. R. and Vinod, H. D. Eds., Handbook of Statistics: Econometrics, 11, 629-661. Amsterdam: North-Holland.
18. White, H. (1980) A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity, Econometrica, 48, 817-838.
19. Wu, C. F. J. (1986) Jackknife, bootstrap and other resampling methods in regression analysis, Annals of Statistics, 14, 1261-1295.