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Keywords
(3)
Covariance Estimation
Covariance Matrix Estimator
Linear Regression Model
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(76)
Some heteroskeda...
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A HeteroskedasticityConsistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity
A HeteroskedasticityConsistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity,Halbert White
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A HeteroskedasticityConsistent Covariance Matrix Estimator And A Direct Test For Heteroskedasticity
(
Citations: 7053
)
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Halbert White
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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Citation Context
(1196)
...The tables report Ordinary Least Square (OLS) parameter estimates, standard
p
values in parentheses and White (
1980
) corrected
p
values in square brackets, and the adjusted
R
^{2}
for the model...
Robert Brooks
,
et al.
Price clustering in Australian water markets
...gif"/> with White's heteroscedasticity consistent covariance matrix estimator (White,
1980
)...
KuoYuan Liang
,
et al.
Measuring CPI's reliability: the stochastic approach to index numbers ...
...The PLS estimate of Equation 3, after adopting the White's (
1980
) heteroskedasticity correction, is provided in <0001" reftype="table">Table 1, where the terms in parentheses are
t
values...
Richard J. Cebula
.
Determinants of per commercial and industrial customer electricity con...
...
10 I compute all
t
(and forthcoming Wald) test statistics with heteroscedasticconsistent SE according to White (
1980
)...
Joseph M. Santos
.
Trading grain now and then: the relative performance of early grainfu...
...We use White's
(1980)
heteroskedasticityrobust estimator to calculate standard errors for the regressions...
Liansheng Wu
,
et al.
State ownership, tax status and size effect of effective tax rate in C...
References
(1)
Estimation and inference in nonlinear structural models
(
Citations: 708
)
Ernst K. Berndt
,
Bronwyn H. Hall
,
Robert E. Hall
,
Jerry A. Hausman
Published in 1974.
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Citations
(7053)
What determines the price of a racing horse?
Travis Ng
,
Terence TaiLeung Chong
,
ManTat Siu
,
Benjamin Everard
Journal:
Applied Economics  APPL ECON
, vol. 45, no. 3, pp. 369382, 2013
Price clustering in Australian water markets
Robert Brooks
,
Edwyna Harris
,
Yovina Joymungul
Journal:
Applied Economics  APPL ECON
, vol. 45, no. 6, pp. 677685, 2013
Measuring CPI's reliability: the stochastic approach to index numbers revisited
KuoYuan Liang
,
ChenHui Yen
Journal:
Applied Economics  APPL ECON
, vol. 45, no. 20, pp. 28942908, 2013
Determinants of per commercial and industrial customer electricity consumption in the United States for the period 2001 to 2005
Richard J. Cebula
Journal:
Applied Economics Letters  APPL ECON LETTERS
, vol. 20, no. 2, pp. 114118, 2013
Trading grain now and then: the relative performance of early grainfutures markets
Joseph M. Santos
Journal:
Applied Economics  APPL ECON
, vol. 45, no. 3, pp. 287298, 2013