Robust heteroskedasticity-robust tests
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.07.008
Abstract: Hausman and Palmer (2012) suggest using the Edgeworth corrected critical values of Rothenberg (1988) along with a pairs bootstrap covariance matrix estimator in order to obtain second order correct heteroskedasticity-robust inferences. According to their simulations,… read more here.
Keywords: heteroskedasticity robust; robust tests; robust heteroskedasticity; heteroskedasticity ... See more keywords
A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1300277
Abstract: ABSTRACT We are occupied with an example concerning the limit theory of the ordinary least squares estimator (OLSE) when the innovation process of the regression has the form of a martingale transform the iid part… read more here.
Keywords: wald test; robust wald; heteroskedasticity robust; limit theory ... See more keywords