Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/67778
Authors: 
MacKinnon, James G.
Year of Publication: 
2011
Series/Report no.: 
Queen's Economics Department Working Paper 1268
Abstract: 
White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation methods. This paper discusses the development of heteroskedasticity-robust inference since 1980. There have been two principal lines of investigation. One approach has been to modify White's original estimator to improve its finite-sample properties, and the other has been to use bootstrap methods. The relation between these two approaches, and some ways in which they may be combined, are discussed. Finally, a simulation experiment compares various methods and shows how far heteroskedasticity-robust inference has come in just over thirty years.
Subjects: 
wild bootstrap
HCCME
power
finite-sample
JEL: 
C12
C15
C20
Document Type: 
Working Paper

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