https://repositorio.ufba.br/handle/ri/7805
Tipo: | Artigo de Periódico |
Título: | Improved heteroscedasticity‐consistent covariance matrix estimators |
Título(s) alternativo(s): | Biometrika |
Autor(es): | Cribari Neto, Francisco Ferrari, Silvia L. P. Cordeiro, Gauss Moutinho |
Autor(es): | Cribari Neto, Francisco Ferrari, Silvia L. P. Cordeiro, Gauss Moutinho |
Abstract: | The heteroscedasticity‐consistent covariance matrix estimator proposed by White (1980) is commonly used in practical applications and is implemented into a number of pieces of statistical software. However, although consistent, it can display substantial bias in small to moderately large samples, as shown by Monte Carlo simulations elsewhere. This paper defines modified White estimators which are approximately bias‐free. Numerical results show that the modified estimators display much smaller bias than White's estimator in small samples. We also show that the bias correction leads to some variance inflation. In hypothesis testing based on heteroscedasticity‐consistent covariance matrix estimators, numerical results suggest that tests based on the proposed bias‐corrected estimators typically display smaller size distortions. |
Palavras-chave: | Bias correction Covariance matrix estimation Heteroscedasticity Linear regressio |
URI: | http://www.repositorio.ufba.br/ri/handle/ri/7805 |
Data do documento: | 2000 |
Aparece nas coleções: | Artigo Publicado em Periódico (IME) |
Arquivo | Descrição | Tamanho | Formato | |
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Cribari.pdf Restricted Access | 142,37 kB | Adobe PDF | Visualizar/Abrir Solicitar uma cópia |
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