Robust heteroskedasticity-robust tests
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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