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A Heteroskedasticity-Consistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity

A Heteroskedasticity-Consistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity,Halbert White

A Heteroskedasticity-Consistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity   (Citations: 7053)
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This paper presents a parameter covariance matrix estimator which is consistent evenwhen the disturbances of a linear regression model are heteroskedastic. This estimatordoes not depend on a formal model of the structure of the heteroskedasticity. Bycomparing the elements of the new estimator to those of the usual covariance estimator,one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity,the two estimators will be approximately equal, but will...
Published in 1980.
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