Heteroskedasticity-robust inference in finite samples / Jerry A. Hausman, Christopher J. Palmer.
| Author/creator | Hausman, Jerry A. |
| Other author | Palmer, Christopher J. |
| Other author | National Bureau of Economic Research. |
| Format | Electronic |
| Publication Info | Cambridge, MA : National Bureau of Economic Research, |
| Supplemental Content | Full text available from NBER Working Papers |
| Series | NBER working paper series ; working paper 17698 Working paper series (National Bureau of Economic Research : Online) ; working paper no. 17698. UNAUTHORIZED |
| Summary | "Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative heteroskedasticity-robust tests of linear hypotheses based on an Edgeworth expansions of the test statistic distribution. Our preferred test outperforms existing methods in both size and power for low, moderate, and severe levels of heteroskedasticity"--National Bureau of Economic Research web site. |
| General note | Title from PDF file as viewed on 2/21/2012. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2011657567 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |