Bootstrapping heteroskedasticity consistent covariance matrix estimator

Computational Statistics

Volumn 17, Issue 4, 2002, Pages 501-506

  Flachaire, Emmanuel ^a  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Heteroskedasticity; Wild bootstrap

Indexed keywords

EID: 0036448891     PISSN: 09434062     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001800200122     Document Type: Article

References (8)

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2. Cribari-Neto, F. and S.G. Zarkos (1999). "Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing". Econometric Reviews 18, 211-228.
3. Davidson, R. and J.G. MacKinnon (1993). Estimation and Inference in Econometrics. New York: Oxford University Press.
4. Eicker, B. (1963). "Limit theorems for regression with unequal and dependant errors". Annals of Mathematical statistics 34, 447-456.
5. Horowitz, J.L. (2000). "The bootstrap". In Handbook of Econometrics, Volume 5. J.J. Heckman and E.E. Leamer (eds), Elsevier Science.
6. Liu, R.Y. (1988). "Bootstrap procedure under some non-i.i.d. models". Annals of Statistics 16, 1696-1708.
7. MacKinnon, J.G. and H.L. White (1985). "Some heteroskedasticity consistent covariance matrix estimators with improved finite sample properties". Journal of Econometrics 21, 53-70.
8. White, H. (1980). "A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity". Econometrica 48, 817-838.