Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189084 
Year of Publication: 
1983
Series/Report no.: 
Queen's Economics Department Working Paper No. 537
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
We examine several modified versions of the heteroskedasticity-consistent covariance matrix estimator of Hinkley and White. On the basis of sampling experiments which compare the performance of quasi t statistics, we find that one estimator, based on the jackknife, performs better in small samples than the rest. We also examine finite-sample properties using modified critical values based on Edgeworth approximations, as proposed by Rothenberg. In addition, we compare the power of several tests for heteroskedasticity and find that it may be wise to employ the jackknife heteroskedasticity-consistent covariance matrix even in the absence of detected heteroskedasticity.
Subjects: 
Jackknife
Heteroskedasticity
HCCME
Edgeworth approximations
JEL: 
C10
C12
Document Type: 
Working Paper

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