| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17698 |
| 来源ID | Working Paper 17698 |
| Heteroskedasticity-Robust Inference in Finite Samples | |
| Jerry A. Hausman; Christopher J. Palmer | |
| 发表日期 | 2011-12-22 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w17698 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575373 |
| 推荐引用方式 GB/T 7714 | Jerry A. Hausman,Christopher J. Palmer. Heteroskedasticity-Robust Inference in Finite Samples. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17698.pdf（282KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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