A Minimax Bias Estimator for OLS Variances under Heteroskedasticity

Mumtaz Ahmed and Asad Zaman

MPRA Paper from University Library of Munich, Germany

Abstract: Analytic evaluation of heteroskedasticity consistent covariance matrix estimates (HCCME) is difficult because of the complexity of the formulae currently available. We obtain new analytic formulae for the bias of a class of estimators of the covariance matrix of OLS in a standard linear regression model. These formulae provide substantial insight into the properties and performance characteristics of these estimators. In particular, we find a new estimator which minimizes the maximum possible bias and improves substantially on the standard Eicker-White estimate.

Keywords: Eicker-White; OLS; Bias; Worst Case Bias (search for similar items in EconPapers)
JEL-codes: C1 C2 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55724

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